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A model for a large investor trading at market indifference prices : I: single-period case
Bank, Peter; Kramkov, Dmitry - In: Finance and stochastics 19 (2015) 2, pp. 449-472
Persistent link: https://www.econbiz.de/10011418186
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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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On irreversible investment
Riedel, Frank; Su, Xia - In: Finance and stochastics 15 (2011) 4, pp. 607-633
Persistent link: https://www.econbiz.de/10009423296
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Trading strategies generated pathwise by functions of market weights
Karatzas, Ioannis; Kim, Donghan - In: Finance and stochastics 24 (2020) 2, pp. 423-463
Persistent link: https://www.econbiz.de/10012253375
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Partial liquidation under reference-dependent preferences
Henderson, Vicky; Muscat, Jonathan - In: Finance and stochastics 24 (2020) 2, pp. 335-357
Persistent link: https://www.econbiz.de/10012253356
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Asymptotic arbitrage and numéraire portfolios in large financial markets
Rochlin, Dmitri B. - In: Finance and stochastics 12 (2008) 2, pp. 173-194
Persistent link: https://www.econbiz.de/10003716254
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Long run forward rates and long yields of bonds and options in heterogeneous equilibria
Malamud, Semyon - In: Finance and stochastics 12 (2008) 2, pp. 245-264
Persistent link: https://www.econbiz.de/10003716265
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The numéraire portfolio in semimartingale financial models
Karatzas, Ioannis; Kardaras, Constantinos - In: Finance and stochastics 11 (2007) 4, pp. 447-493
Persistent link: https://www.econbiz.de/10003645513
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Pricing and hedging European options with discrete-time coherent risk
Cherny, Alexander S. - In: Finance and stochastics 11 (2007) 4, pp. 537-569
Persistent link: https://www.econbiz.de/10003645530
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Optimal lifetime consumption and investment under a drawdown constraint
Elie, Romuald; Touzi, Nizar - In: Finance and stochastics 12 (2008) 3, pp. 299-330
Persistent link: https://www.econbiz.de/10003899189