Details about Marcel Rindisbacher

Access statistics for papers by Marcel Rindisbacher.

Last updated 2011-10-21. Update your information in the RePEc Author Service.

Short-id: pri246

Working Papers

2005

1. Trading Volumes in Dynamically Efficient Markets
   FAME Research Paper Series, International Center for Financial Asset Management and Engineering

2004

2. Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes
   Econometric Society 2004 North American Winter Meetings, Econometric Society
   Also in CIRANO Working Papers, CIRANO (2003)
   See also Journal Article in Journal of Econometrics (2006)

2000

3. A Monte-Carlo Method for Optimal Portfolios
   CIRANO Working Papers, CIRANO View citations (19)
   See also Journal Article in Journal of Finance (2003)

Journal Articles

2010

1. Dynamic Asset Allocation: Portfolio Decomposition Formula and Applications
   Review of Financial Studies, 2010, 23, (1), 25-100 View citations (1)

2009

2. Life-Cycle Finance and the Design of Pension Plans
   Annual Review of Financial Economics, 2009, 1, (1), 249-286 View citations (1)

2008

3. Dynamic asset liability management with tolerance for limited shortfalls
   Insurance: Mathematics and Economics, 2008, 43, (3), 281-294 View citations (5)

2007

4. Heterogeneous preferences and equilibrium trading volume
   Journal of Financial Economics, 2007, 83, (3), 719-750 View citations (2)
5. Monte Carlo methods for derivatives of options with discontinuous payoffs
   Computational Statistics & Data Analysis, 2007, 51, (7), 3393-3417

2006

6. Asymptotic properties of Monte Carlo estimators of diffusion processes
   Journal of Econometrics, 2006, 134, (1), 1-68 View citations (9)
   See also Working Paper (2004)

2005

7. Asymptotic Properties of Monte Carlo Estimators of Derivatives
   Management Science, 2005, 51, (11), 1657-1675 View citations (6)
8. CLOSED-FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS
   Mathematical Finance, 2005, 15, (4), 539-568 View citations (3)
9. Intertemporal asset allocation: A comparison of methods
   Journal of Banking & Finance, 2005, 29, (11), 2821-2848 View citations (10)
10. Representation formulas for Malliavin derivatives of diffusion processes
    Finance and Stochastics, 2005, 9, (3), 349-367 View citations (6)

2003

11. A Monte Carlo Method for Optimal Portfolios
    Journal of Finance, 2003, 58, (1), 401-446 View citations (34)
    See also Working Paper (2000)

1994

12. Real Business Cycle Models - Some Evidence for Switzerland
    Swiss Journal of Economics and Statistics (SJES), 1994, 130, (I), 21-43