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Mean-variance portfolio optimization with state-dependent risk aversion
Björk, Tomas; Murgoci, Agatha; Zhou, Xun Yu - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10010256230
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An explicit solution of a nonlinear-quadratic constrained stochastic control problem with jumps : optimal liquidation in dark pools with adverse selection
Kratz, Peter - In: Mathematics of operations research 39 (2014) 4, pp. 1198-1220
Persistent link: https://www.econbiz.de/10010462146
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Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs
Roux, Alet; Xu, Zhikang - In: International journal of theoretical and applied … 25 (2022) 4/5, pp. 1-45
Persistent link: https://www.econbiz.de/10013371223
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Stochastic liquidity as a proxy for nonlinear price impact
Muhle-Karbe, Johannes; Wang, Zexin; Webster, Kevin T. - In: Operations research 72 (2024) 2, pp. 444-458
Persistent link: https://www.econbiz.de/10014520747
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Modeling a dynamic portfolio for pension plans in emerging markets with myopic and nonmyopic behavior
Pimentel, Livia F.; Santiago, Leonardo P. - In: Emerging markets finance & trade : a journal of the … 51 (2015), pp. 14-26
Persistent link: https://www.econbiz.de/10011561376
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Asset Liability Methoden für Pensionskassen und private Investoren
Pfiffner, Thomas - 2006
Persistent link: https://www.econbiz.de/10003389532
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Portfolio selection in continuous time : analytical and numerical methods
Filitti, Constantin Alexandru - 2004
Persistent link: https://www.econbiz.de/10002013030
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An explicit solution for a portfolio selection problem with stochastic volatility
Sandjo, Albert Nana; Colin, Fabrice; Moutari, Salissou - In: Journal of mathematical finance 7 (2017) 1, pp. 199-218
Persistent link: https://www.econbiz.de/10011658467
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Filtering, approximation and portfolio optimization for shot-noise models and the heston model
Putyatina, Oleksandra - 2012
Persistent link: https://www.econbiz.de/10009728923
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On the Tracking and Replication of Hedge Fund Optimal Investment Portfolio Strategies in Global Capital Markets in Presence of Nonlinearities, Applying Bayesian Filters : 1. Strata...
Ledenyov, Dimitri - 2015
On the tracking and replication of hedge fund optimal investment portfolio strategies in global The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to...
Persistent link: https://www.econbiz.de/10013025088