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The value of a liability cash flow in discrete time subject to capital requirements
Engsner, Hampus; Lindensjö, Kristoffer; Lindskog, Filip - In: Finance and stochastics 24 (2020) 1, pp. 125-167
Persistent link: https://www.econbiz.de/10012253342
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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
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On q-optimal martingale measures in exponential Lévy models
Bender, Christian; Niethammer, Christina R. - In: Finance and stochastics 12 (2008) 3, pp. 381-410
Persistent link: https://www.econbiz.de/10003899201
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MDP algorithms for portfolio optimization problems in pure jump markets
Bäuerle, Nicole; Rieder, Ulrich - In: Finance and stochastics 13 (2009) 4, pp. 591-611
Persistent link: https://www.econbiz.de/10003899534
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Optimal exercise of executive stock options
Rogers, Leonard C. G.; Scheinkman, José Alexandre - In: Finance and stochastics 11 (2007) 3, pp. 357-372
Persistent link: https://www.econbiz.de/10003485810
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Multivariate risks and depth-trimmed regions
Cascos, Ignacio; Molchanov, Ilya - In: Finance and stochastics 11 (2007) 3, pp. 373-397
Persistent link: https://www.econbiz.de/10003485812
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On optimal portfolio diversification with respect to extreme risks
Mainik, Georg; Rüschendorf, Ludger - In: Finance and stochastics 14 (2010) 4, pp. 593-623
Persistent link: https://www.econbiz.de/10008823689
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Co-monotonicity of optimal investments and the design of structured financial products
Rieger, Marc Oliver - In: Finance and stochastics 15 (2011) 1, pp. 27-55
Persistent link: https://www.econbiz.de/10008824136
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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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Pension funds with a minimum guarantee : a stochastic control approach
Di Giacinto, Marina; Federico, Salvatore; Gozzi, Fausto - In: Finance and stochastics 15 (2011) 2, pp. 297-342
Persistent link: https://www.econbiz.de/10009159089