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Dynamic conic finance : pricing and hedging in market models with transaction costs via dynamic coherent acceptability indices
Bielecki, Tomasz R.; Cialenco, Igor; Iyigunler, Ismail; … - In: International journal of theoretical and applied finance 16 (2013) 1, pp. 1-36
Persistent link: https://www.econbiz.de/10009725092
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Optimal investment decisions for a portfolio with a rolling horizon bond and a discount bond
Bielecki, Tomasz R.; Pliska, Stanley R.; Yong, Jiongmin - In: International journal of theoretical and applied finance 8 (2005) 7, pp. 871-914
Persistent link: https://www.econbiz.de/10003206520
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Time-inconsistent Markovian control problems under model uncertainty with application to the mean-variance portfolio selection
Bielecki, Tomasz R.; Chen, Tao; Cialenco, Igor - In: International journal of theoretical and applied finance 24 (2021) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10012650186