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Volume 7, Issue 2

Quantitative Finance

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Quantitative Finance, Volume 7, Issue 2 (2007)

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Quantitative Finance, Volume 7, Issue 2 (2007)

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Financial Planning in a Dynamical Setting

Original Articles

Article

Introduction to the special issue on financial planning in a dynamical setting

M. A. H. Dempster, Gautam Mitra & Georg Ch. Pflug

Pages: 111-112

Published online: 08 May 2007

CitationforIntroduction to the special issue on financial planning in a dynamical setting | Full Text | PDF (48.4 KB)

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Article

Trends in quantitative equity management: survey results

Frank J. Fabozzi, Sergio Focardi & Caroline Jonas

Pages: 115-122

Published online: 08 May 2007

First Page PreviewforTrends in quantitative equity management: survey results | Full Text | References | PDF (255.2 KB)

477 Views
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Article

Portfolio optimization under the Value-at-Risk constraint

Traian A. Pirvu

Pages: 125-136

Published online: 08 May 2007

AbstractforPortfolio optimization under the Value-at-Risk constraint | Full Text | References | PDF (198.1 KB)

862 Views
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Article

Dynamic consumption and asset allocation with derivative securities

Yuan-Hung Hsuku

Pages: 137-149

Published online: 08 May 2007

AbstractforDynamic consumption and asset allocation with derivative securities | Full Text | References | PDF (181 KB)

245 Views
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Article

Volatility-induced financial growth

Michael A. H. Dempster, Igor V. Evstigneev & Klaus R. Schenk-hoppé

Pages: 151-160

Published online: 08 May 2007

AbstractforVolatility-induced financial growth | Full Text | References | PDF (165.1 KB)

292 Views
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Article

Constant rebalanced portfolios and side-information

E. Fagiuoli, F. Stella & A. Ventura

Pages: 161-173

Published online: 08 May 2007

AbstractforConstant rebalanced portfolios and side-information | Full Text | References | PDF (4.2 MB)

375 Views
11 CrossRef citations
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Article

Improving performance for long-term investors: wide diversification, leverage, and overlay strategies

John M. Mulvey, Cenk Ural & Zhuojuan Zhang

Pages: 175-187

Published online: 08 May 2007

AbstractforImproving performance for long-term investors: wide diversification, leverage, and overlay strategies | Full Text | References | PDF (156.3 KB)

409 Views
26 CrossRef citations
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Article

Stochastic programming for funding mortgage pools

Gerd Infanger

Pages: 189-216

Published online: 08 May 2007

AbstractforStochastic programming for funding mortgage pools | Full Text | References | PDF (340.3 KB)

135 Views
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Article

Scenario-generation methods for an optimal public debt strategy

Massimo Bernaschi, Maya Briani, Marco Papi & Davide Vergni

Pages: 217-229

Published online: 08 May 2007

AbstractforScenario-generation methods for an optimal public debt strategy | Full Text | References | PDF (319.6 KB)

202 Views
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Article

Solving ALM problems via sequential stochastic programming

Florian Herzog, Gabriel Dondi, Simon Keel, Lorenz M. Schumani & Hans P. Geering

Pages: 231-244

Published online: 08 May 2007

AbstractforSolving ALM problems via sequential stochastic programming | Full Text | References | PDF (211.2 KB)

230 Views
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Article

Designing minimum guaranteed return funds

M. A. H. Dempster, M. Germano, E. A. Medova, M. I. Rietbergen, F. Sandrini & M. Scrowston

Pages: 245-256

Published online: 08 May 2007

AbstractforDesigning minimum guaranteed return funds | Full Text | References | PDF (204.6 KB)

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Quantitative Finance (Vol.7, Iss.2, 2007)

Financial Planning in a Dynamical Setting

Financial Planning in a Dynamical Setting

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