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Consumption-investment problem with transaction costs for Lévy-driven price processes
Vallière, Dimitri De; Kabanov, Jurij M.; Lépinette, … - In: Finance and stochastics 20 (2016) 3, pp. 705-740
Persistent link: https://www.econbiz.de/10011531437
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Optimal dividends under a drawdown constraint and a curious square-root rule
Albrecher, Hansjörg; Azcue, Pablo; Muler, Nora - In: Finance and stochastics 27 (2023) 2, pp. 341-400
Persistent link: https://www.econbiz.de/10014253644
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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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Optimal investment and price dependence in a semi-static market
Siorpaes, Pietro - In: Finance and stochastics 19 (2015) 1, pp. 161-187
Persistent link: https://www.econbiz.de/10011417148
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Optimal investment and contingent claim valuation in illiquid markets
Pennanen, Teemu - In: Finance and stochastics 18 (2014) 4, pp. 733-754
Persistent link: https://www.econbiz.de/10010413679
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Sensitivity analysis of the utility maximisation problem with respect to model perturbations
Mostovyi, Oleksii; Sîrbu, Mihai - In: Finance and stochastics 23 (2019) 3, pp. 595-640
Persistent link: https://www.econbiz.de/10012023757
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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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An expansion in the model space in the context of utility maximization
Larsen, Kasper; Mostovyi, Oleksii; Žitković, Gordan - In: Finance and stochastics 22 (2018) 2, pp. 297-326
Persistent link: https://www.econbiz.de/10011945713
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Convex duality in optimal investment and contingent claim valuation in illiquid markets
Pennanen, Teemu; Perkkiö, Ari-Pekka - In: Finance and stochastics 22 (2018) 4, pp. 733-771
Persistent link: https://www.econbiz.de/10011946560
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Dynamically consistent investment under model uncertainty : the robust forward criteria
Källblad, Sigrid; Obłój, Jan; … - In: Finance and stochastics 22 (2018) 4, pp. 879-918
Persistent link: https://www.econbiz.de/10011946570