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Investment decisions when utility depends on wealth and other attributes
Grant, Andrew; Satchell, Stephen - In: Quantitative finance 20 (2020) 3, pp. 499-513
Persistent link: https://www.econbiz.de/10012194904
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Portfolio choices : comparative statics under both expected return and volatility uncertainty
Lin, Qian; Tian, Dejian - In: Quantitative finance 21 (2021) 6, pp. 1027-1035
Persistent link: https://www.econbiz.de/10012515634
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Robust portfolios with commodities and stochastic interest rates
Chen, Junhe; Davison, Matt; Escobar, Marcos; Zafari, Golara - In: Quantitative finance 21 (2021) 6, pp. 991-1010
Persistent link: https://www.econbiz.de/10012515629
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Mean-variance portfolio selection with non-negative state-dependent risk aversion
Wang, Tianxiao; Zhuo, Jin; Wei, Jiaqin - In: Quantitative finance 21 (2021) 4, pp. 657-671
Persistent link: https://www.econbiz.de/10012483844
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Stock performance by utility indifference pricing and the Sharpe ratio
Hodoshima, Jiro - In: Quantitative finance 19 (2019) 2, pp. 327-338
Persistent link: https://www.econbiz.de/10012194656
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Optimal investment and consumption under a continuous-time cointegration model with exponential utility
Ma, Guiyuan; Zhu, Song-Ping - In: Quantitative finance 19 (2019) 7, pp. 1135-1149
Persistent link: https://www.econbiz.de/10012194749
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Dynamic currency hedging with non-Gaussianity and ambiguity
Polak, Pawel; Ulrych, Urban - In: Quantitative finance 24 (2024) 2, pp. 305-327
Persistent link: https://www.econbiz.de/10014551995
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Portfolios of value and momentum : disappointment aversion and non-normalities
Lalancette, Simon; Simonato, Jean-Guy - In: Quantitative finance 22 (2022) 7, pp. 1247-1263
Persistent link: https://www.econbiz.de/10013367897
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Mean-variance portfolio with wealth and volatility dependent risk aversion
Liu, Shican - In: Quantitative finance 24 (2024) 6, pp. 735-751
Persistent link: https://www.econbiz.de/10015050791
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A unified formula of the optimal portfolio for piecewise hyperbolic absolute risk aversion utilities
Liang, Zongxia; Liu, Yang; Ma, Ming; Vinoth, Rahul Pothi - In: Quantitative finance 24 (2024) 2, pp. 281-303
Persistent link: https://www.econbiz.de/10014551987