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Optimal stochastic control problem under model uncertainty with nonentropy penalty
Faidi, Wahid; Matoussi, Anis; Mnif, Mohamed - In: International journal of theoretical and applied finance 20 (2017) 3, pp. 1-41
Persistent link: https://www.econbiz.de/10011686954
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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
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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
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Dynamic probabilistic forecasting with uncertainty
Benth, Fred Espen; Kutrolli, Gleda; Stefani, Silvana - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-18
Persistent link: https://www.econbiz.de/10012807773
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Super-hedging American options with semi-static trading strategies under model uncertainty
Bayraktar, Erhan; Zhou, Zhou - In: International journal of theoretical and applied finance 20 (2017) 6, pp. 1-10
Persistent link: https://www.econbiz.de/10011734088
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Portfolio insurance under rough volatility and Volterra processes
Dupret, Jean-Loup; Hainaut, Donatien - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-37
Persistent link: https://www.econbiz.de/10012807860
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Uncertainty versus randomness : minimizing model dependence
Wilmott, Paul - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 493-500
Persistent link: https://www.econbiz.de/10001523034
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The proper use of risk measures in portfolio theory
Ortobelli, Sergio; Račev, Svetlozar T.; Stoyanov, Stoyan; … - In: International journal of theoretical and applied finance 8 (2005) 8, pp. 1107-1133
Persistent link: https://www.econbiz.de/10003280039
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On portfolio selection under extreme risk measure : the heavy-tailed ICA model
Clémençon, Stéphan; Slim, Skander - In: International journal of theoretical and applied finance 10 (2007) 3, pp. 449-474
Persistent link: https://www.econbiz.de/10003463451
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An algorithm for calculating the set of superhedging portfolios in markets with transaction costs
Löhne, Andreas; Rudloff, Birgit - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-33
Persistent link: https://www.econbiz.de/10010363905