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Optimal portfolio liquidation with additional information
Ankirchner, Stefan; Blanchet-Scalliet, Christophette; … - In: Mathematics and financial economics 10 (2016) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10011445989
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Positive alphas and a generalized multiple-factor asset pricing model
Jarrow, Robert A.; Protter, Philip E. - In: Mathematics and financial economics 10 (2016) 1, pp. 29-48
Persistent link: https://www.econbiz.de/10011446005
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Natural risk measures
Assa, Hirbod - In: Mathematics and financial economics 10 (2016) 4, pp. 441-456
Persistent link: https://www.econbiz.de/10011555306
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Robust utility maximization under model uncertainty via a penalization approach
Guo, Ivan; Langrené, Nicolas; Loeper, Grégoire; Ning, Wei - In: Mathematics and financial economics 16 (2022) 1, pp. 51-88
Persistent link: https://www.econbiz.de/10013167700
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Safety-first portfolio selection
Chiu, Wan-Yi - In: Mathematics and financial economics 15 (2021) 3, pp. 657-674
Persistent link: https://www.econbiz.de/10012586212
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On the market price of risk
Korkie, Robert M.; Turtle, Harry J. - In: Mathematics and financial economics 15 (2021) 4, pp. 675-718
Persistent link: https://www.econbiz.de/10012616854
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Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics
Junca, Mauricio; Serrano, Rafael - In: Mathematics and financial economics 15 (2021) 4, pp. 775-809
Persistent link: https://www.econbiz.de/10012616858
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Risk management with expected shortfall
Wei, Pengyu - In: Mathematics and financial economics 15 (2021) 4, pp. 847-883
Persistent link: https://www.econbiz.de/10012616860
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Equilibrium effects of intraday order-splitting benchmarks
Choi, Jin Hyuk; Larsen, Kasper; Seppi, Duane J. - In: Mathematics and financial economics 15 (2021) 2, pp. 315-352
Persistent link: https://www.econbiz.de/10012500028
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Properly discounted asset prices are semimartingales
Bálint, Dániel; Schweizer, Martin - In: Mathematics and financial economics 14 (2020) 4, pp. 661-674
Persistent link: https://www.econbiz.de/10012321854