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Portfolio performance evaluation with generalized Sharpe ratios : beyond the mean and variance

Zakamouline, Valeri; Koekebakker, Steen - In: Journal of banking & finance 33 (2009) 7, pp. 1242-1254

Persistent link: https://www.econbiz.de/10003842258

Warren Buffett versus Zvi Bodie : should you buy or sell put options?

Koekebakker, Steen; Zakamulin, Valeriy - In: The journal of wealth management : JWM 24 (2021) 2, pp. 65-81

Persistent link: https://www.econbiz.de/10012613516

Optimal Portfolios in commodity futures markets

Benth, Fred Espen; Lempa, Jukka - In: Finance and stochastics 18 (2014) 2, pp. 407-430

Persistent link: https://www.econbiz.de/10010340676

Quantitative energy finance : modeling, pricing, and hedging in energy and commodity markets

Benth, Fred Espen (ed.) - 2014

Persistent link: https://www.econbiz.de/10011459115

Optimal portfolio selection with consumtion and nonlinear integro-differential equations with gradient constraint : a viscosity solution approach

Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; … - In: Finance and stochastics 5 (2001) 3, pp. 275-303

Persistent link: https://www.econbiz.de/10001599263

A note on portfolio management under non-Gaussian logreturns

Benth, Fred Espen; Hvistendahl Karlsen, Kenneth; … - In: International journal of theoretical and applied finance 4 (2001) 5, pp. 711-731

Persistent link: https://www.econbiz.de/10001612203

Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution

Benth, Fred Espen; Hvistendahl Karlsen, Kenneth; … - In: Finance and stochastics 5 (2001) 4, pp. 447-467

Persistent link: https://www.econbiz.de/10001614597

Explicit representation of the minimal variance portfolio in markets driven by Lévy processes

Benth, Fred Espen; Di Nunno, Giulia; Løkka, Arne; … - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 55-72

Persistent link: https://www.econbiz.de/10001765640

Merton's portfolio optimization problem in a Black and Scholes market with non-Gaussian stochastic volatility of Ornstein-Uhlenbeck type

Benth, Fred Espen; Hvistendahl Karlsen, Kenneth; … - In: Mathematical finance : an international journal of … 13 (2003) 2, pp. 215-244

Persistent link: https://www.econbiz.de/10001765678

Optimal Portfolios in Commodity Futures Markets

Benth, Fred Espen - 2012

We consider portfolio optimization in futures markets. We model the entire futures price curve at once as a solution of a stochastic partial differential equation. The agents objective is to maximize her utility from the final wealth when investing in futures contracts. We study a class of...

Persistent link: https://www.econbiz.de/10013107869