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Portfolio optimization with insider's initial information and counterparty risk
Hillairet, Caroline; Jiao, Ying - In: Finance and stochastics 19 (2015) 1, pp. 109-134
Persistent link: https://www.econbiz.de/10011417122
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A theory of Markovian time-inconsistent stochastic control in discrete time
Björk, Tomas; Murgoci, Agatha - In: Finance and stochastics 18 (2014) 3, pp. 545-592
Persistent link: https://www.econbiz.de/10010396002
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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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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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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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On time-inconsistent stochastic control in continuous time
Björk, Tomas; Khapko, Mariana; Murgoci, Agatha - In: Finance and stochastics 21 (2017) 2, pp. 331-360
Persistent link: https://www.econbiz.de/10011944378
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Optimal investment and consumption for financial markets with jumps under transaction costs
Egorov, Sergei; Pergamenchtchikov, Serguei - In: Finance and stochastics 28 (2024) 1, pp. 123-159
Persistent link: https://www.econbiz.de/10014447608
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On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes
Hefter, Mario; Jentzen, Arnulf - In: Finance and stochastics 23 (2019) 1, pp. 139-172
Persistent link: https://www.econbiz.de/10012023704
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Optimal dividenc policy and growth option
Décamps, Jean-Paul; Villeneuve, Stéphane - In: Finance and stochastics 11 (2007) 1, pp. 3-27
Persistent link: https://www.econbiz.de/10003410633