Mireille Bossy

Institut National de Recherche en Informatique et Automatique (INRIA)

40 avenue Halley

Villeneuve, 59650

France

SCHOLARLY PAPERS

2

DOWNLOADS

490

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

A Methodology to Analyze Model Risk with an Application to Discount Bond Options in a Heath-Jarrow-Morton Framework

Risklab Research Report
Number of pages: 42 Posted: 10 Jul 2001
Kedge Capital Fund Management, Institut National de Recherche en Informatique et Automatique (INRIA), University of Geneva - Geneva Finance Research Institute (GFRI), French National Institute for Research in Computer Science and Control (INRIA) and National Institute of Statistics and Economic Studies (INSEE) - National School for Statistical and Economic Administration (ENSAE)
Downloads 327 (96,685)

Abstract:

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model risk, interest rate risk, Heath-Jarrow-Morton

2.

Portfolio Management with Drawdown Constraint: An Analysis of Optimal Investment

Number of pages: 61 Posted: 29 Apr 2017
Maxime Bonelli and Mireille Bossy
HEC Paris - Finance Department and Institut National de Recherche en Informatique et Automatique (INRIA)
Downloads 163 (191,469)

Abstract:

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portfolio optimization, drawdown constraint, prospect theory, dynamic programming