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Utility maximization with random horizon : a BSDE approach
Jeanblanc, Monique; Mastrolia, Thibaut; Possamai͏̈, Dylan - In: International journal of theoretical and applied finance 18 (2015) 7, pp. 1-43
Persistent link: https://www.econbiz.de/10011404177
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Optimal lifetime consumption and investment under a drawdown constraint
Elie, Romuald; Touzi, Nizar - In: Finance and stochastics 12 (2008) 3, pp. 299-330
Persistent link: https://www.econbiz.de/10003899189
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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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Approximate hedging for nonlinear transaction costs on the volume of traded assets
Elie, Romuald; Lépinette, Emmanuel - In: Finance and stochastics 19 (2015) 3, pp. 541-581
Persistent link: https://www.econbiz.de/10011418291
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Optimal selling rules for monetary invariant criteria : tracking the maximum of a portfolio with negative drift
Elie, Romuald; Espinosa, Gilles-Eduard - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 754-788
Persistent link: https://www.econbiz.de/10011350516
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Time-inconsistent contract theory
Hernández, Camilo; Possamaï, Dylan - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 1022-1085
Persistent link: https://www.econbiz.de/10014565289