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Nonmyopic Optimal Portfolios in Viable Markets

Cvitanić, Jakša; Malamud, Semyon - National Centre of Competence in Research - Financial … - 2010

We provide a representation for the nonmyopic optimal portfolio of an agentconsuming only at the terminal horizon when the single state variable follows ageneral diusion process and the market consists of one risky asset and a risk-freeasset. The key term of our representation is a new object...

Persistent link: https://www.econbiz.de/10009486979

Nonmyopic optimal portfolios in viable markets

Cvitanić, Jakša; Malamud, Semyon - 2010

We provide a representation for the nonmyopic optimal portfolio of an agent consuming only at the terminal horizon when the single state variable follows a general di usion process and the market consists of one risky asset and a risk-free asset. The key term of our representation is a new...

Persistent link: https://www.econbiz.de/10008797739

Nonmyopic optimal portfolios in viable markets

Cvitanić, Jakša; Malamud, Semyon - In: Mathematics and financial economics 8 (2014) 1, pp. 71-108

Persistent link: https://www.econbiz.de/10010235416

Optimal trading under constraints

Cvitanić, Jakša - In: Financial mathematics : held in Bressanone, Italy, July …, (pp. 123-190). 1997

Persistent link: https://www.econbiz.de/10001321237

Hedging with Monte Carlo simulation

Cvitanić, Jakša; Goukasian, Levon; Zapatero, Fernando - In: Computational methods in decision-making, economics and …, (pp. 339-353). 2010

Persistent link: https://www.econbiz.de/10009153076

On managerial risk-taking incentives when compensation may be hedged against

Cvitanić, Jakša; Henderson, Vicky; Lazrak, Ali - In: Mathematics and financial economics 8 (2014) 4, pp. 453-471

Persistent link: https://www.econbiz.de/10010491928

Introduction to the economics and mathematics of financial markets

Cvitanić, Jakša; Zapatero, Fernando - 2004

Persistent link: https://www.econbiz.de/10002346328

Efficient computation of hedging portfolios for options with discontinuous payoffs

Cvitanić, Jakša; Ma, Jin; Jianfeng Zhang - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 135-151

Persistent link: https://www.econbiz.de/10001765668

Methods of partial hedging

Cvitanić, Jakša - In: Asia-Pacific financial markets 6 (1999) 1, pp. 7-35

Persistent link: https://www.econbiz.de/10001506390

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