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Optimal portfolio selection strategies in the presence of transaction costs
Meng, Qiang; Weerasinghe, Ananda - In: International journal of theoretical and applied finance 9 (2006) 4, pp. 619-641
Persistent link: https://www.econbiz.de/10003347396
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Stochastic model predictive control and portfolio optimization
Herzog, Florian; Dondi, Gabriel; Geering, Hans P. - In: International journal of theoretical and applied finance 10 (2007) 2, pp. 203-233
Persistent link: https://www.econbiz.de/10003441946
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Optimal portfolios with stochastic short rate : pitfalls when the short rate is non-Gaussian or the market price of risk is unbounded
Kraft, Holger - In: International journal of theoretical and applied finance 12 (2009) 6, pp. 767-796
Persistent link: https://www.econbiz.de/10003911240
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Probability distribution and option pricing for drawdown in a stochastic volatility environment
Yamamoto, Kyo; Sato, Seisho; Takahashi, Akihiko - In: International journal of theoretical and applied finance 13 (2010) 2, pp. 335-354
Persistent link: https://www.econbiz.de/10008860388
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Implication of the Kelly criterion for multi-dimensional processes
Lv, Yingdong; Meister, Bernhard K. - In: International journal of theoretical and applied finance 13 (2010) 1, pp. 93-112
Persistent link: https://www.econbiz.de/10008860421
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Completeness of bond market driven by Lévy process
Barski, Michał; Zabczyk, Jerzy - In: International journal of theoretical and applied finance 13 (2010) 5, pp. 635-656
Persistent link: https://www.econbiz.de/10008904349
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Utility maximization in affine stochastic volatility models
Kallsen, Jan; Muhle-Karbe, Johannes - In: International journal of theoretical and applied finance 13 (2010) 3, pp. 459-477
Persistent link: https://www.econbiz.de/10008904356
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Optimal investment on finite horizon with random discrete order flow in illiquid markets
Gassiat, Paul; Pham, Huyên; Sı̂rbu, Mihai - In: International journal of theoretical and applied finance 14 (2011) 1, pp. 17-40
Persistent link: https://www.econbiz.de/10008908395
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A continuous time approximation of an evolutionary stock market model
Buchmann, Boris; Weber, Stefan - In: International journal of theoretical and applied finance 10 (2007) 7, pp. 1229-1253
Persistent link: https://www.econbiz.de/10003632068
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Large portfolio credit risk modeling
Davis, Mark H.; Esparragoza-Rodriguez, Juan Carlos - In: International journal of theoretical and applied finance 10 (2007) 4, pp. 653-678
Persistent link: https://www.econbiz.de/10003503358