Narrow search
Showing 1 - 10 of 124
Cover Image
Portfolio selection problems consistent with given preference orderings
Lozza, Sergio Ortobelli; Shalit, Haim; Fabozzi, Frank J. - In: International journal of theoretical and applied finance 16 (2013) 5, pp. 1-38
Persistent link: https://www.econbiz.de/10009783998
Cover Image
Confronting model misspecification in finance : tractable collections of scenario probability measures for robust financial optimization problems
Friedman, Craig - In: International journal of theoretical and applied finance 5 (2002) 1, pp. 33-54
Persistent link: https://www.econbiz.de/10001657399
Cover Image
Robust utility maximization in a multivariate financial market with stochastic drift
Sass, Jörn; Westphal, Dorothee - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-28
Persistent link: https://www.econbiz.de/10012652713
Cover Image
Continuous-time mean-variance optimization for defined contribution pension funds with regime-switching
Chen, Zhiping; Wang, Liyuan; Chen, Ping; Yao, Haixiang - In: International journal of theoretical and applied finance 22 (2019) 6, pp. 1-33
Persistent link: https://www.econbiz.de/10012153045
Cover Image
Portfolio optimization under a quantile hedging constraint
Bouveret, Géraldine - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-36
Persistent link: https://www.econbiz.de/10011956927
Cover Image
Optimal risk control under marked point processes shocks : a dynamic programming duality approach
Mnif, Mohamed - In: International journal of theoretical and applied finance 16 (2013) 7, pp. 1-45
Persistent link: https://www.econbiz.de/10010233243
Cover Image
Solvability and numerical simulation of BSDEs related to BSPDEs with applications to utility maximization
Imkeller, Peter; Réveillac, Anthony; Zhang, Jianing - In: International journal of theoretical and applied finance 14 (2011) 5, pp. 635-667
Persistent link: https://www.econbiz.de/10009298518
Cover Image
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
Cover Image
Mixture of consistent stochastic utilities, and a priori randomness
Mrad, Mohamed - In: International journal of theoretical and applied finance 24 (2021) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10012650235
Cover Image
Optimal liquidation trajectories for the Almgren-Chriss model
Løkka, Arne; Xu, Junwei - In: International journal of theoretical and applied finance 23 (2020) 7, pp. 1-35
Persistent link: https://www.econbiz.de/10012496903