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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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Background filtrations and canonical loss processes for top-down models of portfolio credit risk
Ehlers, Philippe; Schönbucher, Philipp J. - In: Finance and stochastics 13 (2009) 1, pp. 79-103
Persistent link: https://www.econbiz.de/10003939478
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A risk-sensitive stochastic control approach to an optimal investment problem with partial information
Hata, Hiroaki; Iida, Yasunari - In: Finance and stochastics 10 (2006) 3, pp. 395-426
Persistent link: https://www.econbiz.de/10003380023
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Liquidity risk, price impacts and the replication problem
Roch, Alexandre F. - In: Finance and stochastics 15 (2011) 3, pp. 399-419
Persistent link: https://www.econbiz.de/10009303238
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Utility maximization with current utility on the wealth : regularity of solutions to the HJB equation
Federico, Salvatore; Gassiat, Paul; Gozzi, Fausto - In: Finance and stochastics 19 (2015) 2, pp. 415-448
Persistent link: https://www.econbiz.de/10011418169
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Approximate hedging for nonlinear transaction costs on the volume of traded assets
Elie, Romuald; Lépinette, Emmanuel - In: Finance and stochastics 19 (2015) 3, pp. 541-581
Persistent link: https://www.econbiz.de/10011418291
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Optimal Portfolios in commodity futures markets
Benth, Fred Espen; Lempa, Jukka - In: Finance and stochastics 18 (2014) 2, pp. 407-430
Persistent link: https://www.econbiz.de/10010340676
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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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Consumption-portfolio optimization with recursive utility in incomplete markets
Kraft, Holger; Seifried, Frank Thomas; Steffensen, Mogens - In: Finance and stochastics 17 (2013) 1, pp. 161-196
Persistent link: https://www.econbiz.de/10009682287