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Option pricing and portfolio optimization : modern methods of financial mathematics
Korn, Ralf; Korn, Elke - 2001
Persistent link: https://www.econbiz.de/10011513289
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More on minimal entropy-Hellinger martingale measure
Choulli, Tahir; Stricker, Christophe - In: Mathematical finance : an international journal of … 16 (2006) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10003336776
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Value preserving strategies and a general framework for local approaches to optimal portfolios
Korn, Ralf - In: Mathematical finance : an international journal of … 10 (2000) 2, pp. 227-241
Persistent link: https://www.econbiz.de/10002177631
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On the stability of continuous-time portfolio problems with stochastic opportunity set
Korn, Ralf; Kraft, Holger - In: Mathematical finance : an international journal of … 14 (2004) 3, pp. 403-414
Persistent link: https://www.econbiz.de/10002125556
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Minimal entropy-Hellinger martingale measure in incomplete markets
Choulli, Tahir; Stricker, Christophe - In: Mathematical finance : an international journal of … 15 (2005) 3, pp. 465-490
Persistent link: https://www.econbiz.de/10002983174
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On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
Kabanov, Jurij M.; Stricker, Christophe - In: Mathematical finance : an international journal of … 12 (2002) 2, pp. 125-134
Persistent link: https://www.econbiz.de/10001686231
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Optimal portfolios with bounded capital at risk
Emmer, Susanne; Klüppelberg, Claudia; Korn, Ralf - In: Mathematical finance : an international journal of … 11 (2001) 4, pp. 365-384
Persistent link: https://www.econbiz.de/10001620446
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Optimal consumption and investment for a large investor : an intensity-based control framework
Busch, Michael; Korn, Ralf; Seifried, Frank Thomas - In: Mathematical finance : an international journal of … 23 (2013) 4, pp. 687-717
Persistent link: https://www.econbiz.de/10010187678