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Risk measures based on behavioural economics theory
Mao, Tiantian; Cai, Jun - In: Finance and stochastics 22 (2018) 2, pp. 367-393
Persistent link: https://www.econbiz.de/10011945793
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Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
Schied, Alexander; Schöneborn, Torsten - In: Finance and stochastics 13 (2009) 2, pp. 181-204
Persistent link: https://www.econbiz.de/10003939504
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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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Utility maximization under increasing risk aversion in one-period models
Cheridito, Patrick; Summer, Christopher - In: Finance and stochastics 10 (2006) 1, pp. 147-158
Persistent link: https://www.econbiz.de/10003234963
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Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes
Strub, Moris S.; Zhou, Xun Yu - In: Finance and stochastics 25 (2021) 2, pp. 331-358
Persistent link: https://www.econbiz.de/10012499731
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A paradox in time-consistency in the mean-variance problem?
Bensoussan, Alain; Wong, Kwok Chuen; Yam, Sheung Chi Phillip - In: Finance and stochastics 23 (2019) 1, pp. 173-207
Persistent link: https://www.econbiz.de/10012023708
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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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Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals
Källblad, Sigrid - In: Finance and stochastics 21 (2017) 2, pp. 397-425
Persistent link: https://www.econbiz.de/10011944387
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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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Speculative trading, prospect theory and transaction costs
Tse, Alex S. L.; Zheng, Harry - In: Finance and stochastics 27 (2023) 1, pp. 49-96
Persistent link: https://www.econbiz.de/10013489496