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Consumption-portfolio optimization with recursive utility in incomplete markets
Kraft, Holger; Seifried, Frank Thomas; Steffensen, Mogens - In: Finance and stochastics 17 (2013) 1, pp. 161-196
Persistent link: https://www.econbiz.de/10009682287
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Hazard rate for credit risk and hedging defaultable contingent claims
Blanchet-Scalliet, Christophette; Jeanblanc, Monique - In: Finance and stochastics 8 (2004) 1, pp. 145-159
Persistent link: https://www.econbiz.de/10001910889
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Optimization of consumption with labor income
El Karoui, Nicole - In: Finance and stochastics 2 (1998) 4, pp. 409-440
Persistent link: https://www.econbiz.de/10001247133
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A unified framework for robust modelling of financial markets in discrete time
Obłój, Jan; Wiesel, Johannes - In: Finance and stochastics 25 (2021) 3, pp. 427-468
Persistent link: https://www.econbiz.de/10012585981
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Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
Cherny, Vladimir; Obłój, Jan - In: Finance and stochastics 17 (2013) 4, pp. 771-800
Persistent link: https://www.econbiz.de/10010190877
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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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Hedging with small uncertainty aversion
Herrmann, Sebastian; Muhle-Karbe, Johannes; Seifried, … - In: Finance and stochastics 21 (2017) 1, pp. 1-64
Persistent link: https://www.econbiz.de/10011944064
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Optimal consumption and investment with Epstein-Zin recursive utility
Kraft, Holger; Seiferling, Thomas; Seifried, Frank Thomas - In: Finance and stochastics 21 (2017) 1, pp. 187-226
Persistent link: https://www.econbiz.de/10011944068
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No-arbitrage up to random horizon for quasi-left-continuous models
Aksamit, Anna; Choulli, Tahir; Deng, Jun; Jeanblanc, Monique - In: Finance and stochastics 21 (2017) 4, pp. 1103-1139
Persistent link: https://www.econbiz.de/10011944480
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No-arbitrage under a class of honest times
Aksamit, Anna; Choulli, Tahir; Deng, Jun; Jeanblanc, Monique - In: Finance and stochastics 22 (2018) 1, pp. 127-159
Persistent link: https://www.econbiz.de/10011945638