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Maximizing the growth rate under risk constraints
Pirvu, Traian A.; Žitković, Gordan - In: Mathematical finance : an international journal of … 19 (2009) 3, pp. 423-455
Persistent link: https://www.econbiz.de/10003882789
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Optioned portfolio selection : models and analysis
Liang, Jianfeng; Zhang, Shuzhong; Li, Duan - In: Mathematical finance : an international journal of … 18 (2008) 4, pp. 569-593
Persistent link: https://www.econbiz.de/10003769015
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A model of optimal consumption under liquidity risk with random trading times
Pham, Huyên; Tankov, Peter - In: Mathematical finance : an international journal of … 18 (2008) 4, pp. 613-627
Persistent link: https://www.econbiz.de/10003769020
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Multidimensional portfolio optimization with proportional transaction costs
Muthuraman, Kumar; Kumar, Sunil - In: Mathematical finance : an international journal of … 16 (2006) 2, pp. 301-335
Persistent link: https://www.econbiz.de/10003325969
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Funding and investment decisions in a stochastic defined benefit pension plan with several levels of labor-income earnings
Josa-Fombellida, Ricardo; Rincón-Zapatero, Juan Pablo - In: Computers & operations research : and their … 35 (2008) 1, pp. 47-63
Persistent link: https://www.econbiz.de/10003665730
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A generalized Neyman-Pearson lemma for g-probabilities
Ji, Shaolin; Zhou, Xun Yu - In: Probability theory and related fields 148 (2010) 3/4, pp. 645-669
Persistent link: https://www.econbiz.de/10008649933
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A general maximum principle for anticipative stochastic control and applications to insider trading
Di Nunno, Giulia; Pamen, Olivier Menoukeu; Øksendal, … - In: Advanced mathematical methods for finance, (pp. 181-221). 2011
Persistent link: https://www.econbiz.de/10008991293
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Stochastic control in limit order markets : curve following, portfolio liquidation and derivative valuation
Naujokat, Felix - 2011
Persistent link: https://www.econbiz.de/10009552027
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Neyman-Pearson hedging and dynamic measures of risk
Kohlmann, Michael - 2000
main aim is to minimize this shortfall risk by making use of results from bsde theory. …
Persistent link: https://www.econbiz.de/10011545021
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Optimal asset allocation and stochastic correlations
Weisheit, Stefan - 2014
Persistent link: https://www.econbiz.de/10010425797