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Expected exponential utility maximization of insurers with a Linear Gaussian stochastic factor model
Hata, Hiroaki; Yasuda, Kazuhiro - In: Scandinavian actuarial journal (2018) 5, pp. 357-378
Persistent link: https://www.econbiz.de/10011881444
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Large-dimensional factor modeling based on high-frequency observations
Pelger, Markus - In: Journal of econometrics 208 (2019) 1, pp. 23-42
Persistent link: https://www.econbiz.de/10012139775
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Martingalansätze in der Portfolioselektion
Eggers, Rainer - 2004
Persistent link: https://www.econbiz.de/10002386244
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Portfolio selection in continuous time : analytical and numerical methods
Filitti, Constantin Alexandru - 2004
Persistent link: https://www.econbiz.de/10002013030
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Financial markets and martingales : observations on science and speculation
Bouleau, Nicolas - 2004
Persistent link: https://www.econbiz.de/10013551507
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On the constant elasticity of variance model for the utility maximization problem with multiple risky assets
Zhao, Hui; Rong, Ximin - In: IMA journal of management mathematics 28 (2017) 2, pp. 299-320
Persistent link: https://www.econbiz.de/10011723286
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Quantitative finance : its development, mathematical foundations, and current scope
Epps, Thomas W. - 2009
Persistent link: https://www.econbiz.de/10003756274
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On the semimartingale property via bounded logarithmic utility
Larsen, Kasper; Žitković, Gordan - In: Annals of finance 4 (2008) 2, pp. 255-268
Persistent link: https://www.econbiz.de/10003645478
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The numéraire portfolio in semimartingale financial models
Karatzas, Ioannis; Kardaras, Constantinos - In: Finance and stochastics 11 (2007) 4, pp. 447-493
Persistent link: https://www.econbiz.de/10003645513
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Along but beyond mean-variance : utility maximization in a semimartingale model
Huhtala, Heli (contributor) - 2008
Persistent link: https://www.econbiz.de/10003651107