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isPartOf:"Journal of financial and quantitative analysis : JFQA"
subject:"Portfolio selection"
~isPartOf:"Finance and stochastics"
~isPartOf:"Mathematical methods of operations research"
~language:"eng"
~person:"Björk, Tomas"
~person:"Constantinescu, Corina"
~person:"Kabanov, Jurij M."
~person:"Kallsen, Jan"
~person:"Schwartz, Eduardo S."
~person:"Soner, Halil Mete"
~subject:"Betriebliche Investitionstheorie"
~subject:"Stock market"
~subject:"Theory"
~subject:"Wahrscheinlichkeitsrechnung"
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Portfolio selection
Betriebliche Investitionstheorie
Stock market
Theory
Wahrscheinlichkeitsrechnung
Theorie
41
Portfolio-Management
15
Stochastic process
10
Stochastischer Prozess
10
Transaction costs
10
Transaktionskosten
10
Arbitrage Pricing
8
Arbitrage pricing
8
Option pricing theory
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Optionspreistheorie
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Probability theory
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Martingal
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Martingale
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Hedging
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Incomplete market
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Unvollkommener Markt
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Kapitalmarkttheorie
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Markov chain
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Opportunity cost
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Björk, Tomas
Constantinescu, Corina
Kabanov, Jurij M.
Kallsen, Jan
Schwartz, Eduardo S.
Soner, Halil Mete
Jeanblanc, Monique
10
Nowak, Andrzej S.
9
Tijs, Stef
9
Borm, Peter
8
Jarrow, Robert A.
8
Bouchard, Bruno
7
Bäuerle, Nicole
7
Cavazos-Cadena, Rolando
7
Glasserman, Paul
7
Hobson, David G.
7
Karatzas, Ioannis
7
Larsen, Kasper
7
Madan, Dilip B.
7
Muhle-Karbe, Johannes
7
Schachermayer, Walter
7
Zariphopoulou-Souganidis, Thaleia
7
Bayraktar, Erhan
6
Bilbao, Jesús Mario
6
Delbaen, Freddy
6
Guasoni, Paolo
6
Hernández-Lerma, Onésimo
6
Kardaras, Constantinos
6
Korn, Ralf
6
Pham, Huyên
6
Rásonyi, Miklós
6
Rüschendorf, Ludger
6
Schied, Alexander
6
Stricker, Christophe
6
Touzi, Nizar
6
Benth, Fred Espen
5
Chen, Ren-Raw
5
Choulli, Tahir
5
Filipović, Damir
5
Frey, Rüdiger
5
Frittelli, Marco
5
Fukasawa, Masaaki
5
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Journal of financial and quantitative analysis : JFQA
Finance and stochastics
Mathematical methods of operations research
Research paper series / Swiss Finance Institute
18
Mathematical finance : an international journal of mathematics, statistics and financial theory
16
Swiss Finance Institute Research Paper
15
SSE EFI working paper series in economics and finance
9
The journal of finance : the journal of the American Finance Association
9
NBER working paper series
8
Risks : open access journal
7
NBER Working Paper
6
Working paper / National Bureau of Economic Research, Inc.
6
Handbook of heavy tailed distributions in finance
5
Scandinavian actuarial journal
5
Working paper series in economics and finance
5
The journal of business : B
4
Journal of mathematical economics
3
Mathematical finance - Bachelier Congress, 2000 : selected papers from the first World Congress of the Bachelier Finance Society, Paris, June 29 - July 1, 2000
3
Real options and investment under uncertainty : classical readings and recent contributions
3
The review of financial studies
3
Insurance / Mathematics & economics
2
International journal of theoretical and applied finance
2
Journal of economic dynamics & control
2
Journal of energy finance & development
2
Review of derivatives research
2
SAFE working paper
2
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
2
Advanced mathematical methods for finance
1
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
1
Advances in finance and stochastics : essays in honour of Dieter Sondermann
1
Advances in futures and options research : a research annual
1
Allgemeines statistisches Archiv : AStA ; journal of the German Statistical Society
1
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
1
Annual review of financial economics
1
Cattedra Galileiana
1
Credit risk models and management
1
Decisions in economics and finance : DEF ; a journal of applied mathematics
1
Economic notes : economic review of Banca Monte dei Paschi di Siena
1
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
1
Energy economics
1
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ECONIS (ZBW)
41
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1
Ruin probabilities for a Sparre Andersen model with investments : the case of annuity payments
Kabanov, Jurij M.
;
Promyslov, Platon
- In:
Finance and stochastics
27
(
2023
)
4
,
pp. 887-902
Persistent link: https://www.econbiz.de/10014426395
Saved in:
2
On ruin probabilities with investments in a risky asset with a regime-switching price
Kabanov, Jurij M.
;
Pergamenščikov, Sergej M.
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 877-897
Persistent link: https://www.econbiz.de/10013440255
Saved in:
3
Conditional Davis pricing
Larsen, Kasper
;
Soner, Halil Mete
;
Žitković, Gordan
- In:
Finance and stochastics
24
(
2020
)
3
,
pp. 565-599
Persistent link: https://www.econbiz.de/10012518059
Saved in:
4
An application of fractional differential equations to risk theory
Constantinescu, Corina
;
Ramirez, Jorge M.
;
Zhu, Wei
- In:
Finance and stochastics
23
(
2019
)
4
,
pp. 1001-1024
Persistent link: https://www.econbiz.de/10012114683
Saved in:
5
Consumption-investment problem with transaction costs for Lévy-driven price processes
Vallière, Dimitri De
;
Kabanov, Jurij M.
;
Lépinette, …
- In:
Finance and stochastics
20
(
2016
)
3
,
pp. 705-740
Persistent link: https://www.econbiz.de/10011531437
Saved in:
6
Facelifting in utility maximization
Larsen, Kasper
;
Soner, Halil Mete
;
Žitković, Gordan
- In:
Finance and stochastics
20
(
2016
)
1
,
pp. 99-121
Persistent link: https://www.econbiz.de/10011460007
Saved in:
7
In the insurance business risky investments are dangerous : the case of negative risk sums
Kabanov, Jurij M.
;
Pergamenshchikov, Serguei
- In:
Finance and stochastics
20
(
2016
)
2
,
pp. 355-379
Persistent link: https://www.econbiz.de/10011471125
Saved in:
8
No arbitrage of the first kind and local martingale numéraires
Kabanov, Jurij M.
;
Kardaras, Constantinos
;
Song, Shiqi
- In:
Finance and stochastics
20
(
2016
)
4
,
pp. 1097-1108
Persistent link: https://www.econbiz.de/10011570475
Saved in:
9
Utility maximization in an illiquid market in continuous time
Soner, Halil Mete
;
Vukelja, Mirjana
- In:
Mathematical methods of operations research
84
(
2016
)
2
,
pp. 285-321
Persistent link: https://www.econbiz.de/10011673528
Saved in:
10
Asymptotics for fixed transaction costs
Altarovici, Albert Michael
;
Muhle-Karbe, Johannes
; …
- In:
Finance and stochastics
19
(
2015
)
2
,
pp. 363-414
Persistent link: https://www.econbiz.de/10011418150
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