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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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An online portfolio selection algorithm with regret logarithmic in price variation
Hazan, Elad; Kale, Satyen - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 288-310
Persistent link: https://www.econbiz.de/10011350635
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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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Asymptotically optimal portfolios
Jamshidian, Farshid - In: Mathematical finance : an international journal of … 2 (1992) 2, pp. 131-150
Persistent link: https://www.econbiz.de/10001184897
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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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Optimal selling rules for monetary invariant criteria : tracking the maximum of a portfolio with negative drift
Elie, Romuald; Espinosa, Gilles-Eduard - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 754-788
Persistent link: https://www.econbiz.de/10011350516
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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