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Portfolio optimization under partial information with expert opinions
Frey, Rüdiger; Gabih, Abdelali; Wunderlich, Ralf - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10009562133
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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
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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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A model for the long-term optimal capacity level of an investment project
Løkka, Arne; Zervos, Mihail - In: International journal of theoretical and applied finance 14 (2011) 2, pp. 187-196
Persistent link: https://www.econbiz.de/10008992185
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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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High-dimensional portfolio optimization with transaction costs
Broadie, Mark; Shen, Weiwei - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-49
Persistent link: https://www.econbiz.de/10011523840
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Optimal trading strategies with limit orders
Agliardi, Rossella; Gençay, Ramazan - In: International journal of theoretical and applied finance 20 (2017) 1, pp. 1-16
Persistent link: https://www.econbiz.de/10011686803
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Swing option pricing by dynamic programming with B-spline density projection
Kirkby, J. Lars; Deng, Shijie - In: International journal of theoretical and applied finance 22 (2019) 8, pp. 1-53
Persistent link: https://www.econbiz.de/10012183215
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On robust multi-period pre-commitment and time-consistent mean-variance portfolio optimization
Cong, F.; Oosterlee, Cornelis Willebrordus - In: International journal of theoretical and applied finance 20 (2017) 7, pp. 1-26
Persistent link: https://www.econbiz.de/10011763920
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Option pricing with a levy-type stochastic dynamic model for stock price process under semi-Markovian structural perturbations
Assonken, Patrick; Ladde, Gangaram S. - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-72
Persistent link: https://www.econbiz.de/10011419362