An efficient ex-ante criterion for ranking investment strategies-Reference-Cited by-同舟云学术

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An efficient ex-ante criterion for ranking investment strategies

Published:2009-04 Issue:1 Volume:210 Page:258-268
ISSN:0096-3003
Container-title:Applied Mathematics and Computation
language:en
Short-container-title:Applied Mathematics and Computation

Author:

Kung James J.,Carverhill Andrew P.

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference32 articles.

1. T. Andersen, J. Lund, Stochastic volatility and mean drift in the short rate diffusion: sources of steepness, level and curvature in the yield curve, working paper, Northwestern University, 1999.

2. Riding the yield curve: an analysis of international evidence;Ang;Journal of Fixed Income,1998

3. Riding the yield curve: a variety of strategies;Bieri;Journal of Fixed Income,2005

4. The pricing of options and corporate liabilities;Black;Journal of Political Economy,1973

5. Strategic asset allocation;Brennan;Journal of Economic Dynamics and Control,1997

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1. Fisher's Separation Theorem and its Limitations;Highlights in Business, Economics and Management;2023-11-02

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