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~isPartOf:"Finance and stochastics"
~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~isPartOf:"The journal of asset management"
~person:"Benth, Fred Espen"
~subject:"Theory"
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Finance and stochastics
Mathematical finance : an international journal of mathematics, statistics and financial theory
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Optimal Portfolios in commodity futures markets
Benth, Fred Espen
;
Lempa, Jukka
- In:
Finance and stochastics
18
(
2014
)
2
,
pp. 407-430
Persistent link: https://www.econbiz.de/10010340676
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2
Optimal portfolio selection with consumtion and nonlinear integro-differential equations with gradient constraint : a viscosity solution approach
Benth, Fred Espen
;
Karlsen, Kenneth Hvistendahl
; …
- In:
Finance and stochastics
5
(
2001
)
3
,
pp. 275-303
Persistent link: https://www.econbiz.de/10001599263
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3
Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution
Benth, Fred Espen
;
Hvistendahl Karlsen, Kenneth
; …
- In:
Finance and stochastics
5
(
2001
)
4
,
pp. 447-467
Persistent link: https://www.econbiz.de/10001614597
Saved in:
4
Explicit representation of the minimal variance portfolio in markets driven by Lévy processes
Benth, Fred Espen
;
Di Nunno, Giulia
;
Løkka, Arne
; …
- In:
Mathematical finance : an international journal of …
13
(
2003
)
1
,
pp. 55-72
Persistent link: https://www.econbiz.de/10001765640
Saved in:
5
Merton's portfolio optimization problem in a Black and Scholes market with non-Gaussian stochastic volatility of Ornstein-Uhlenbeck type
Benth, Fred Espen
;
Hvistendahl Karlsen, Kenneth
; …
- In:
Mathematical finance : an international journal of …
13
(
2003
)
2
,
pp. 215-244
Persistent link: https://www.econbiz.de/10001765678
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