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~isPartOf:"Quantitative finance"
~person:"Endres, Sylvia"
~person:"Langrené, Nicolas"
~subject:"Asymmetrische Information"
~subject:"Portfolio selection"
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Asymmetrische Information
Portfolio selection
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Endres, Sylvia
Langrené, Nicolas
Escobar, Marcos
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Stübinger, Johannes
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Portfolio optimization with a prescribed terminal wealth distribution
Guo, Ivan
;
Langrené, Nicolas
;
Loeper, Grégoire
;
Ning, Wei
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 333-347
Persistent link: https://www.econbiz.de/10013167753
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2
Dynamic portfolio optimization with liquidity cost and market impact : a simulation-and-regression approach
Zhang, Rongju
;
Langrené, Nicolas
;
Tian, Yu
;
Zhu, Zili
; …
- In:
Quantitative finance
19
(
2019
)
3
,
pp. 519-532
Persistent link: https://www.econbiz.de/10012194674
Saved in:
3
A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns
Endres, Sylvia
;
Stübinger, Johannes
- In:
Quantitative finance
19
(
2019
)
10
,
pp. 1727-1740
Persistent link: https://www.econbiz.de/10012194819
Saved in:
4
Pairs trading with a mean-reverting jump-diffusion model on high-frequency data
Stübinger, Johannes
;
Endres, Sylvia
- In:
Quantitative finance
18
(
2018
)
10
,
pp. 1735-1751
Persistent link: https://www.econbiz.de/10012261908
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