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Risk sharing in a financial market with endogenous option prices

Wenzelburger, Jan - In: The European journal of finance 19 (2013) 5/6, pp. 491-517

Persistent link: https://www.econbiz.de/10010243599

Mean-variance analysis and the Modified Market Portfolio

Wenzelburger, Jan - In: Journal of economic dynamics & control 111 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012501447

Stochastic cascades, credit contagion, and large portfolio losses

Horst, Ulrich - In: Journal of economic behavior & organization : JEBO 63 (2007) 1, pp. 25-54

Persistent link: https://www.econbiz.de/10003437963

Equilibria in the CAPM with non-tradeable endowments

Koch Medina, Pablo; Wenzelburger, Jan - In: Journal of mathematical economics 75 (2018), pp. 93-107

Persistent link: https://www.econbiz.de/10012104032

On the performance of efficient portfolios

Böhm, Volker; Wenzelburger, Jan - 2005

Persistent link: https://www.econbiz.de/10002714742

On the performance of efficient portfolios

Böhm, Volker; Wenzelburger, Jan - In: Journal of economic dynamics & control 29 (2005) 4, pp. 721-740

Persistent link: https://www.econbiz.de/10002702747

The impact of multiperiod planning horizons on portfolios and asset in a dynamic CAPM

Hillebrand, Marten; Wenzelburger, Jan - In: Journal of mathematical economics 42 (2006) 4/5, pp. 565-593

Persistent link: https://www.econbiz.de/10003376542

Multi-dimensional optimal trade execution under stochastic resilience

Horst, Ulrich; Xia, Xiaonyu - In: Finance and stochastics 23 (2019) 4, pp. 889-923

Persistent link: https://www.econbiz.de/10012114663

On securitization, market completion and equilibrium risk transfer

Horst, Ulrich; Pirvu, Traian A.; Dos Reis, Gonc̜alo - In: Mathematics and financial economics 2 (2010) 4, pp. 211-252

Persistent link: https://www.econbiz.de/10003949928

On securitization, market completion and equilibrium risk transfer

Horst, Ulrich; Pirvu, Traian A.; Reis, Gonçalo Dos - 2010

We propose an equilibrium framework within which to price financial securities written on non- tradable underlyings such as temperature indices. We analyze a financial market with a finite set of agents whose preferences are described by a convex dynamic risk measure generated by the solution of...

Persistent link: https://www.econbiz.de/10003952854