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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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Robust control and recursive utility
Skiadas, Costis - In: Finance and stochastics 7 (2003) 4, pp. 475-489
Persistent link: https://www.econbiz.de/10001800679
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Financial equilibria in the semimartingale setting : complete markets and markets with withdrawel constraints
Žitković, Gordan - In: Finance and stochastics 10 (2006) 1, pp. 99-119
Persistent link: https://www.econbiz.de/10003234957
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Existence and structure of stochastic equilibria with intertemporal substitution
Bank, Peter; Riedel, Frank - In: Finance and stochastics 5 (2001) 4, pp. 487-509
Persistent link: https://www.econbiz.de/10001614604
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American and European options in multi-factor jump-diffusion models, near expiry
Levendorskij, Sergej Z. - In: Finance and stochastics 12 (2008) 4, pp. 541-560
Persistent link: https://www.econbiz.de/10003899270
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On irreversible investment
Riedel, Frank; Su, Xia - In: Finance and stochastics 15 (2011) 4, pp. 607-633
Persistent link: https://www.econbiz.de/10009423296
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Universal arbitrage aggregator in discrete-time markets under uncertainty
Burzoni, Matteo; Frittelli, Marco; Maggis, Marco - In: Finance and stochastics 20 (2016) 1, pp. 1-50
Persistent link: https://www.econbiz.de/10011459932
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Model uncertainty, recalibration, and the emergence of delta-vega hedging
Herrmann, Sebastian; Muhle-Karbe, Johannes - In: Finance and stochastics 21 (2017) 4, pp. 873-930
Persistent link: https://www.econbiz.de/10011944452
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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
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Robust state-dependent mean-variance portfolio selection : a closed-loop approach
Han, Bingyan; Pun, Chi Seng; Wong, Hoi Ying - In: Finance and stochastics 25 (2021) 3, pp. 529-561
Persistent link: https://www.econbiz.de/10012585986