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A paradox in time-consistency in the mean-variance problem?
Bensoussan, Alain; Wong, Kwok Chuen; Yam, Sheung Chi Phillip - In: Finance and stochastics 23 (2019) 1, pp. 173-207
Persistent link: https://www.econbiz.de/10012023708
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Mean field portfolio games
Fu, Guanxing; Zhou, Chao - In: Finance and stochastics 27 (2023) 1, pp. 189-231
Persistent link: https://www.econbiz.de/10013489591
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Risk measures for processes and BSDEs
Penner, Irina; Réveillac, Anthony - In: Finance and stochastics 19 (2015) 1, pp. 23-66
Persistent link: https://www.econbiz.de/10011417006
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Portfolio optimization with insider's initial information and counterparty risk
Hillairet, Caroline; Jiao, Ying - In: Finance and stochastics 19 (2015) 1, pp. 109-134
Persistent link: https://www.econbiz.de/10011417122
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Optimal investment and price dependence in a semi-static market
Siorpaes, Pietro - In: Finance and stochastics 19 (2015) 1, pp. 161-187
Persistent link: https://www.econbiz.de/10011417148
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When terminal facelift enforces delta constraints
Chassagneux, Jean-François; Elie, Romuald; Kharroubi, Idris - In: Finance and stochastics 19 (2015) 2, pp. 329-362
Persistent link: https://www.econbiz.de/10011417951
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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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A model for a large investor trading at market indifference prices : I: single-period case
Bank, Peter; Kramkov, Dmitry - In: Finance and stochastics 19 (2015) 2, pp. 449-472
Persistent link: https://www.econbiz.de/10011418186
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Approximate hedging for nonlinear transaction costs on the volume of traded assets
Elie, Romuald; Lépinette, Emmanuel - In: Finance and stochastics 19 (2015) 3, pp. 541-581
Persistent link: https://www.econbiz.de/10011418291
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How non-arbitrage, viability and numéraire portfolio are related
Choulli, Tahir; Deng, Jun; Ma, Junfeng - In: Finance and stochastics 19 (2015) 4, pp. 719-741
Persistent link: https://www.econbiz.de/10011420437