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Convex measures of risk and trading constraints
Föllmer, Hans; Schied, Alexander - In: Finance and stochastics 6 (2002) 4, pp. 429-447
Persistent link: https://www.econbiz.de/10001702779
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Optimal portfolios when stock prices follow an exponential Lévy process
Emmer, Susanne; Klüppelberg, Claudia - In: Finance and stochastics 8 (2004) 1, pp. 17-44
Persistent link: https://www.econbiz.de/10001910678
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A geometric approach to portfolio optimization in models with transaction costs
Kabanov, Jurij M.; Klüppelberg, Claudia - In: Finance and stochastics 8 (2004) 2, pp. 207-227
Persistent link: https://www.econbiz.de/10002012544
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Quantile hedging
Föllmer, Hans; Leukert, Peter - In: Finance and stochastics 3 (1999) 3, pp. 251-273
Persistent link: https://www.econbiz.de/10001389101
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Financial risk measures for a network of individual agents holding portfolios of light-tailed objects
Klüppelberg, Claudia; Seifert, Miriam - In: Finance and stochastics 23 (2019) 4, pp. 795-826
Persistent link: https://www.econbiz.de/10012114659