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Worst case portfolio vectors and diversification effects
Rüschendorf, Ludger - In: Finance and stochastics 16 (2012) 1, pp. 155-175
Persistent link: https://www.econbiz.de/10009423231
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Risk sensitive asset management with transaction costs
Bielecki, Tomasz R.; Pliska, Stanley R. - In: Finance and stochastics 4 (2000) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10001486618
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Portfolio optimisation with strictly positive transaction costs and impulse control
Korn, Ralf - In: Finance and stochastics 2 (1998) 2, pp. 85-114
Persistent link: https://www.econbiz.de/10001235411
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Optimal trading of a security when there are taxes and transaction costs
Cadenillas, Abel; Pliska, Stanley R. - In: Finance and stochastics 3 (1999) 2, pp. 137-165
Persistent link: https://www.econbiz.de/10001367012
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A generalization of the mutual fund theorem
Khanna, Ajay; Kulldorff, Martin - In: Finance and stochastics 3 (1999) 2, pp. 167-185
Persistent link: https://www.econbiz.de/10001367026
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Turnpike behavior of long-term investments
Huang, Chi-fu; Zariphopoulou, Thaleia - In: Finance and stochastics 3 (1999) 1, pp. 15-34
Persistent link: https://www.econbiz.de/10001367438
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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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Hedging contingent claims on semimartingales
Jarrow, Robert; Madan, Dilip B. - In: Finance and stochastics 3 (1999) 1, pp. 111-134
Persistent link: https://www.econbiz.de/10001367662
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Beating a moving target : optimal portfolio strategies for outperforming a stochastic benchmark
Browne, Sid - In: Finance and stochastics 3 (1999) 3, pp. 275-294
Persistent link: https://www.econbiz.de/10001389104
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Convergence of strategies : an approach using Clark-Haussmann's formula
Pedersen, Jan - In: Finance and stochastics 3 (1999) 3, pp. 323-344
Persistent link: https://www.econbiz.de/10001389113