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Risk measures : rationality and diversification
Cerreia-Vioglio, Simone; Maccheroni, Fabio; Marinacci, … - In: Mathematical finance : an international journal of … 21 (2011) 4, pp. 743-774
Persistent link: https://www.econbiz.de/10009312216
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Sensitivity analysis of nonlinear behavior with distorted probability
Cao, Xi-Ren; Wan, Xiangwei - In: Mathematical finance : an international journal of … 27 (2017) 1, pp. 115-150
Persistent link: https://www.econbiz.de/10011739450
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Hedging and portfolio optimization under transaction costs : a martingale approach
Cvitanić, Jakša - In: Mathematical finance : an international journal of … 6 (1996) 2, pp. 133-165
Persistent link: https://www.econbiz.de/10001201641
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Minimizing transaction costs of option hedging strategies
Grannan, E. R. - In: Mathematical finance : an international journal of … 6 (1996) 4, pp. 341-364
Persistent link: https://www.econbiz.de/10001208937
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Consumption and portfolio policies with incomplete markets and short-sale constraints in the finite-dimensional case : some remarks
Girotto, Bruno - In: Mathematical finance : an international journal of … 4 (1994) 1, pp. 69-73
Persistent link: https://www.econbiz.de/10001185099
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Optimal consumption and portfolio selection with incomplete markets and upper and lower bound constraints
Shirakawa, Hiroshi - In: Mathematical finance : an international journal of … 4 (1994) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10001185117
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Portfolio management with transaction costs : an asymptotic analysis of the Morton and Pliska model
Atkinson, Colin - In: Mathematical finance : an international journal of … 5 (1995) 4, pp. 357-367
Persistent link: https://www.econbiz.de/10001189276
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Optimal portfolio management with fixed transaction costs
Morton, Andrew J. - In: Mathematical finance : an international journal of … 5 (1995) 4, pp. 337-356
Persistent link: https://www.econbiz.de/10001189277
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Long horizons, high risk aversion, and endogenous spreads
Guasoni, Paolo; Muhle-Karbe, Johannes - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 724-753
Persistent link: https://www.econbiz.de/10011350524
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Option pricing and hedging with small transaction costs
Kallsen, Jan; Muhle-Karbe, Johannes - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 702-723
Persistent link: https://www.econbiz.de/10011350527