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Optimal hedging in a dynamic futures market with a nonnegativity constraint on wealth
Lioui, Abraham; Poncet, Patrice - In: Journal of Economic Dynamics and Control 20 (1996) 6-7, pp. 1101-1113
Persistent link: https://www.econbiz.de/10005205189
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On optimal portfolio choice under stochastic interest rates
Lioui, Abraham; Poncet, Patrice - In: Journal of Economic Dynamics and Control 25 (2001) 11, pp. 1841-1865
Persistent link: https://www.econbiz.de/10005021393
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Dynamic asset pricing with non-redundant forwards
Lioui, Abraham; Poncet, Patrice - In: Journal of Economic Dynamics and Control 27 (2003) 7, pp. 1163-1180
Persistent link: https://www.econbiz.de/10005229465