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Keywords: VAR model
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Journal Articles
Asset allocation efficiency from dynamic and static strategies in underfunded pension funds
Open Access
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2022) 30 (1): 2–22.
Published: 07 February 2022
... by asset class Input data Building block Target rate of return VAR model Filtering G110 G230 In any financial institution, there might be no dissenting opinion regarding that asset allocation policies are crucial. Brinson et al. (1986) analyze the performance of pension funds...
Journal Articles
Information Flow between Stock Skew and Options Risk Neutral Skew: Evidence from KOSPI200 Options
Open Access
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2013) 21 (1): 97–133.
Published: 28 February 2013
... Relation VAR model Information Contents © 2013 Emerald Publishing Limited 2013 This article is published under the Creative Commons Attribution (CC BY 4.0) licence. Anyone may reproduce, distribute, translate and create derivative works of this article (for both commercial and non-commercial...
