Journal of Derivatives and Quantitative Studies: 선물연구: Volume 29 Issue 2 , Open Access
Subjects:
Table of contents
Optimal investment with time-varying transition probabilities for regime switching
Hyo-Chan Lee, Seyoung Park, Jong Mun YoonThis study aims to generalize the following result of McDonald and Siegel (1986) on optimal investment: it is optimal for an investor to invest when project cash flows exceed a…
563
Predicting Korea’ business-cycle regimes using OnBid auction data
Jin Gi Kim, Hyun-Tak Lee, Bong-Gyu JangThis paper examines whether the successful bid rate of the OnBid public auction, published by Korea Asset Management Corporation, can identify and forecast the Korea…
480
On the investigation of investment style allocation under the OCIO structure: Evidence from the Korean stock market
Jeongjoon Park, Jaewan Bae, Changjun LeeGiven the importance of style allocation strategy under the outsourced chief investment officer (OCIO) structure, the authors examine the validity of style allocation strategies…
535
Transactions of the National Pension Service of Korea in the KOSPI200 futures market
Meong Ae Kim, Mincheol WooIt is known that the National Pension Service (NPS) of Korea contributes to the market stability because it tends to pursue the negative feedback trading strategy in the Korean…
579
