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Afriat's theorem and some extensions to choice under uncertainty
Diewert, Walter E. - In: The economic journal : the journal of the Royal … 122 (2012) 560, pp. 305-331
Persistent link: https://www.econbiz.de/10009573239
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Afriat’s theorem and some extensions to choice under uncertainty
Diewert, Walter E. - 2011
Persistent link: https://www.econbiz.de/10009427309
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Vigilant measures of risk and the demand for contingent claims
Ghossoub, Mario - In: Insurance / Mathematics & economics 61 (2015), pp. 27-35
Persistent link: https://www.econbiz.de/10010515937
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On modeling banking risk
Tsionas, E. G. - 2014
Persistent link: https://www.econbiz.de/10011280215
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A state-constrained stochastic optimal control problem arising in portfolio liquidation
Lazgham, Mourad - 2015
Persistent link: https://www.econbiz.de/10011437748
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Portfolio optimization under nonlinear utility
Heyne, Gregor; Kupper, Michael; Tangpi, Ludovic - In: International journal of theoretical and applied finance 19 (2016) 5, pp. 1-37
Persistent link: https://www.econbiz.de/10011524910
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Maximizing expected utility over a knapsack constraint
Yu, Jianjin; Ahmed, Shabbir - In: Operations research letters 44 (2016) 2, pp. 180-185
Persistent link: https://www.econbiz.de/10011457277
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Decision making with risky, rival outcomes : theory and evidence
Johnson, David B.; Webb, Matthew - 2016
Persistent link: https://www.econbiz.de/10011564492
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Utility maximization, duality, price for risk, semimartingale represenations & continuous time CAPM
Leitner, Johannes - 2001 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001626257
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Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics
Junca, Mauricio; Serrano, Rafael - In: Mathematics and financial economics 15 (2021) 4, pp. 775-809
Persistent link: https://www.econbiz.de/10012616858