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Risk Budgeting portfolios : existence and computation
Cetingoz, Adil Rengim; Fermanian, Jean-David; Guéant, … - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 896-924
Persistent link: https://www.econbiz.de/10014565279
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Consistent modeling of VIX and equity derivatives using a 3, 2 plus jumps model
Baldeaux, Jan; Badran, Alexander - 2012
Persistent link: https://www.econbiz.de/10009564457
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B-spline techniques for volatility modeling
Corlay, Sulvain - In: The journal of computational finance 19 (2016) 3, pp. 97-135
Persistent link: https://www.econbiz.de/10011563492
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Portfolio optimization problem with delay under Cox-Ingersoll-Ross model
A, Chunxiang; Shao, Yi - In: Journal of mathematical finance 7 (2017) 3, pp. 699-717
Persistent link: https://www.econbiz.de/10011752489
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Portfolio optimization and stochastic volatility asymptotics
Fouque, Jean-Pierre; Sircar, Kaushik Ronnie; … - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 704-745
Persistent link: https://www.econbiz.de/10011764969
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Multi-Asset portfolio optimization with stochastic Sharpe ratio under drawdown constraint
Biswas, Subhojit; Jawaid, Saif; Mukherjee, Diganta - In: Annals of financial economics 15 (2020) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10012642950
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On regularized optimal execution problems and their singular limits
Souza, Max O.; Thamsten, Y. - In: Applied mathematical finance 29 (2022) 2, pp. 79-109
Persistent link: https://www.econbiz.de/10013554788
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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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Robust utility maximization in a stochastic factor model
Hernández-Hernández, Daniel (contributor);  … - 2005
martingale measures. -- optimal investment ; model uncertainty ; incomplete markets ; stochastic volatility ; coherent risk … market model, whose volatility, interest rate process, and long-term trend are driven by an external stochastic factor … process. The robust utility functional is defined in terms of a HARA utility function with negative risk aversion and a …
Persistent link: https://www.econbiz.de/10003324220
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Robust utility maximization in nondominated models with 2BSDE : the uncertain volatility model
Matoussi, Anis; Possamaï, Dylan; Zhou, Chao - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 258-287
Persistent link: https://www.econbiz.de/10011350647