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The value of a liability cash flow in discrete time subject to capital requirements
Engsner, Hampus; Lindensjö, Kristoffer; Lindskog, Filip - In: Finance and stochastics 24 (2020) 1, pp. 125-167
Persistent link: https://www.econbiz.de/10012253342
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Implication of the Kelly criterion for multi-dimensional processes
Lv, Yingdong; Meister, Bernhard K. - In: International journal of theoretical and applied finance 13 (2010) 1, pp. 93-112
Persistent link: https://www.econbiz.de/10008860421
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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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Portfolio selection problems consistent with given preference orderings
Lozza, Sergio Ortobelli; Shalit, Haim; Fabozzi, Frank J. - In: International journal of theoretical and applied finance 16 (2013) 5, pp. 1-38
Persistent link: https://www.econbiz.de/10009783998
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Learning and portfolio decisions for CRRA investors
Longo, Michele; Mainini, Alessandra - In: International journal of theoretical and applied finance 19 (2016) 3, pp. 1-21
Persistent link: https://www.econbiz.de/10011523763
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Do institutional investors care about the ambiguity of their assets? : evidence from portfolio holdings in alternative investments
Koziol, Christian; Proelss, Juliane; Schweizer, Denis - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 465-484
Persistent link: https://www.econbiz.de/10009269380
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Asset allocation and liquidity breakdowns : what if your broker does not answer the phone?
Diesinger, Peter M.; Kraft, Holger; Seifried, Frank Thomas - In: Finance and stochastics 14 (2010) 3, pp. 343-374
Persistent link: https://www.econbiz.de/10010216488
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Behavioral portfolio choice under hyperbolic absolute risk aversion
Escobar, Marcos; Lichtenstern, Andreas; Zagst, Rudi - In: International journal of theoretical and applied finance 23 (2020) 7, pp. 1-33
Persistent link: https://www.econbiz.de/10012496902
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A closed-form solution for optimal Ornstein-Uhlenbeck driven trading strategies
Lipton, Alexander; López de Prado, Marcos M. - In: International journal of theoretical and applied finance 23 (2020) 8, pp. 1-34
Persistent link: https://www.econbiz.de/10012496922
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On irreversible investment
Riedel, Frank; Su, Xia - In: Finance and stochastics 15 (2011) 4, pp. 607-633
Persistent link: https://www.econbiz.de/10009423296