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No-arbitrage up to random horizon for quasi-left-continuous models
Aksamit, Anna; Choulli, Tahir; Deng, Jun; Jeanblanc, Monique - In: Finance and stochastics 21 (2017) 4, pp. 1103-1139
Persistent link: https://www.econbiz.de/10011944480
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No-arbitrage under a class of honest times
Aksamit, Anna; Choulli, Tahir; Deng, Jun; Jeanblanc, Monique - In: Finance and stochastics 22 (2018) 1, pp. 127-159
Persistent link: https://www.econbiz.de/10011945638
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Trading strategies generated by Lyapunov functions
Karatzas, Ioannis; Ruf, Johannes - In: Finance and stochastics 21 (2017) 3, pp. 753-787
Persistent link: https://www.econbiz.de/10011944423
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Log-optimal and numéraire portfolios for market models stopped at a random time
Choulli, Tahir; Yansori, Sina - In: Finance and stochastics 26 (2022) 3, pp. 535-585
Persistent link: https://www.econbiz.de/10013440235
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When terminal facelift enforces delta constraints
Chassagneux, Jean-François; Elie, Romuald; Kharroubi, Idris - In: Finance and stochastics 19 (2015) 2, pp. 329-362
Persistent link: https://www.econbiz.de/10011417951
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Dynamic optimal portfolio choice in a jump-diffusion model with investment constraints
Jin, Xing; Zhang, Kun - In: Journal of banking & finance 37 (2013) 5, pp. 1733-1746
Persistent link: https://www.econbiz.de/10009729466
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Management compensation and market timing under portfolio constraints
Agarwal, Vikas; Gómez, Juan-Pedro; Priestley, Richard - In: Journal of economic dynamics & control 36 (2012) 10, pp. 1600-1625
Persistent link: https://www.econbiz.de/10009701968
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Asset pricing with heterogeneous investors and portfolio constraints
Chabakauri, Georgy - 2012
Persistent link: https://www.econbiz.de/10009619941
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The benefits of differential variance-based constraints in portfolio optimization
Levy, Haim; Levy, Moshe - In: European journal of operational research : EJOR 234 (2014) 2, pp. 372-381
Persistent link: https://www.econbiz.de/10010356754
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60 years portfolio optimization : practical challenges and current trends
Kolm, Petter N.; Tütüncü, Reha; Fabozzi, Frank J. - In: European journal of operational research : EJOR 234 (2014) 2, pp. 356-371
Persistent link: https://www.econbiz.de/10010356756