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A note on the existence of the power investor's optimizer
Larsen, Kasper - In: Finance and stochastics 15 (2011) 1, pp. 183-190
Persistent link: https://www.econbiz.de/10008824128
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Facelifting in utility maximization
Larsen, Kasper; Soner, Halil Mete; Žitković, Gordan - In: Finance and stochastics 20 (2016) 1, pp. 99-121
Persistent link: https://www.econbiz.de/10011460007
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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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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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An expansion in the model space in the context of utility maximization
Larsen, Kasper; Mostovyi, Oleksii; Žitković, Gordan - In: Finance and stochastics 22 (2018) 2, pp. 297-326
Persistent link: https://www.econbiz.de/10011945713