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Better than pre-commitment mean-variance portfolio allocation strategies : a semi-self-financing Hamilton-Jacobi-Bellman equation approach
Dang, Duy Minh; Forsyth, Peter A. - In: European journal of operational research : EJOR 250 (2016) 3, pp. 827-841
Persistent link: https://www.econbiz.de/10011445336
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The complete Gaussian kernel in the multi-factor Heston model : option pricing and implied volatility applications
Recchioni, Maria Cristina; Iori, Giulia; Tedeschi, Gabriele - In: European journal of operational research : EJOR 293 (2021) 1, pp. 336-360
Persistent link: https://www.econbiz.de/10012502484
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Merton's portfolio problem including market frictions : a closed-form formula supporting the shadow price approach
Mariani, Francesca; Recchioni, Maria Cristina; Ciommi, … - In: European journal of operational research : EJOR 275 (2019) 3, pp. 1178-1189
Persistent link: https://www.econbiz.de/10011993680
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From bond yield to macroeconomic instability : a parsimonious affine model
Recchioni, Maria Cristina; Tedeschi, Gabriele - In: European journal of operational research : EJOR 262 (2017) 3, pp. 1116-1135
Persistent link: https://www.econbiz.de/10011802489
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Across-time risk-aware strategies for outperforming a benchmark
Staden, Pieter M. van; Forsyth, Peter A.; Li, Yuying - In: European journal of operational research : EJOR 313 (2024) 2, pp. 776-800
Persistent link: https://www.econbiz.de/10014456636