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Stochastic process
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Fabozzi, Frank J.
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Barcelona Workshop on Mathematical Finance <2017, Barcelona>
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International journal of theoretical and applied finance
European journal of operational research : EJOR
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ECONIS (ZBW)
445
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1
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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
Stochastic dominance : convexity and some efficiency tests
Lizyayev, Andrey
- In:
International journal of theoretical and applied finance
15
(
2012
)
5
,
pp. 1-19
Persistent link: https://www.econbiz.de/10009672606
Saved in:
6
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
Saved in:
7
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
Saved in:
8
Representation of BSDE-based dynamic
risk
measures and dynamic capital allocations
Kromer, Eduard
;
Overbeck, Ludger
- In:
International journal of theoretical and applied finance
17
(
2014
)
5
,
pp. 1-16
Persistent link: https://www.econbiz.de/10010437199
Saved in:
9
An ergodic BSDE
risk
representation in a jump-diffusion framework
Guambe, Calisto
;
Mabitsela, Lesedi
;
Kufakunesu, Rodwell
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012652631
Saved in:
10
Irreversible investments and ambiguity aversion
Cartea, Álvaro
;
Jaimungal, Sebastian
- In:
International journal of theoretical and applied finance
20
(
2017
)
7
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011763919
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