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A model of optimal portfolio selection under liquidity risk and price impact
Vath, Vathana Ly; Mnif, Mohamed; Pham, Huyên - In: Finance and stochastics 11 (2007) 1, pp. 51-90
Persistent link: https://www.econbiz.de/10003410636
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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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Optimal consumption policies in illiquid markets
Cretarola, Alessandra; Gozzi, Fausto; Pham, Huyên; … - In: Finance and stochastics 15 (2011) 1, pp. 85-115
Persistent link: https://www.econbiz.de/10008824131
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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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Wealth-path dependent utility maximization in incomplete markets
Bouchard, Bruno; Pham, Huyên - In: Finance and stochastics 8 (2004) 4, pp. 579-603
Persistent link: https://www.econbiz.de/10002261514
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A large deviations approach to optimal long term investment
Pham, Huyên - In: Finance and stochastics 7 (2003) 2, pp. 169-195
Persistent link: https://www.econbiz.de/10001762732
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Dynamic programming and mean-variance hedging
Laurent, Jean Paul; Pham, Huyên - In: Finance and stochastics 3 (1999) 1, pp. 83-110
Persistent link: https://www.econbiz.de/10001367656
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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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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