Similar Search Results

Mind the cap!-constrained portfolio optimisation in Heston's stochastic volatility model

Escobar, Marcos; Kschonnek, M.; Zagst, Rudi - In: Quantitative finance 23 (2023) 12, pp. 1793-1813

Persistent link: https://www.econbiz.de/10014452471

Computational methods for production-based asset pricing models with recursive utility

Aldrich, Eric Mark; Kung, Howard - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10012437836

Explicit representations for utility indifference prices

Hess, Markus - In: Applied mathematical finance 28 (2021) 1, pp. 23-47

Persistent link: https://www.econbiz.de/10012625986

Arbitrage-free multifactor term structure models : a theory based on stochastic control

Gombani, Andrea; Runggaldier, Wolfgang J. - In: Mathematical finance : an international journal of … 23 (2013) 4, pp. 659-686

Persistent link: https://www.econbiz.de/10010187681

Wavelet-based option pricing : an empirical study

Liu, Xiaoquan; Cao, Yi; Ma, Chenghu; Shen, Liya - In: European journal of operational research : EJOR 272 (2019) 3, pp. 1132-1142

Persistent link: https://www.econbiz.de/10011942861

Mean-variance portfolio selection in presence of infrequently traded stocks

Castellano, Rosella; Cerqueti, Roy - In: European journal of operational research : EJOR 234 (2014) 2, pp. 442-449

Persistent link: https://www.econbiz.de/10010356733

Optimal investment strategies under affine Markov-switching models : theory, examples and implementation

Neykova, Daniela - 2016

This thesis deals with the portfolio optimization problem of an investor who aims to maximize the expected utility of her terminal wealth. The considered multidimensional asset price model incorporates several risk factors modeled both by diffusion processes and by a Markov chain. Based on the...

Persistent link: https://www.econbiz.de/10011475639