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Intertemporal recursive utility and an equilibrium asset pricing model in the presence of Lévy jumps
Ma, Chenghu - In: Journal of mathematical economics 42 (2006) 2, pp. 131-160
Persistent link: https://www.econbiz.de/10003310857
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Asset pricing and portfolio choice theory
Back, Kerry E. - 2010
Persistent link: https://www.econbiz.de/10008662772
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Optimal investment strategy for kinked utility maximization : covered call option strategy
Yamashita, Miwaka - In: Journal of mathematical finance 4 (2014) 2, pp. 55-74
Persistent link: https://www.econbiz.de/10010380912
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Average portfolio insurance strategies
Pézier, Jacques; Scheller, Johanna - 2012
Persistent link: https://www.econbiz.de/10009520561
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Expected utility maximization and time diversification
Persson, Mattias - In: Portfolio selection and the analysis of risk and time …, (pp. 93-111). 2001
Persistent link: https://www.econbiz.de/10001602103
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Valuation of claims on nontraded assets using utility maximization
Henderson, Vicky - In: Mathematical finance : an international journal of … 12 (2002) 4, pp. 351-373
Persistent link: https://www.econbiz.de/10001741947
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The valuation of currency call options in selected target zones : a theoretical formulation
Abraham, Rebecca - In: International Journal of Financial Markets and … 7 (2020) 3, pp. 265-290
Persistent link: https://www.econbiz.de/10012510293
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Sufficient conditions of stochastic dominance for general transformations and its application in option strategy
Gao, Jianwei; Feng, Zhao - 2017
analysis, 1992), does not hold. Then, by restricting the monotone property of the dominating transformation, a revised exact … expected utility: Survey and analysis, 1992), are extended to the most general transformations. Moreover, such criteria are …
Persistent link: https://www.econbiz.de/10011673974
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Robust utility maximization with Lévy processes
Neufeld, Ariel; Nutz, Marcel - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 82-105
Persistent link: https://www.econbiz.de/10011969154
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Sufficient conditions of stochastic dominance for general transformations and its application in option strategy
Gao, Jianwei; Feng, Zhao; Gu, Yundong - 2018
analysis, 1992), does not hold. Then, by restricting the monotone property of the dominating transformation, a revised exact …
Persistent link: https://www.econbiz.de/10011776990