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The cost of sustainability in optimal portfolio decisions

Herzel, Stefano; Nicolosi, Marco; Starica, Catalin - In: The European journal of finance 18 (2012) 3/4, pp. 333-349

Persistent link: https://www.econbiz.de/10009667520

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

Utility maximization and duality

Leitner, Johannes - 2000

In an arbitrage free incomplete market we consider the problem of maximizing terminal isoelastic utility. The relationship between the optimal portfolio, the optimal martingale measure in the dual problem and the optimal value function of the problem is described by an BSDE. For a totally...

Persistent link: https://www.econbiz.de/10011543605

Optimal portfolios of corporate bonds and hold to maturity strategies

Kopeliovich, Yaacov - In: Annals of financial economics 10 (2015) 2, pp. 1-34

Persistent link: https://www.econbiz.de/10011408526

Optimal portfolios in the presence of stress scenarios : a worst-case approach

Korn, Ralf; Müller, Lukas - In: Mathematics and financial economics 16 (2022) 1, pp. 153-185

Persistent link: https://www.econbiz.de/10013167740

Quantile-based optimal portfolio selection

Bodnar, Taras; Lindholm, Mathias; Thorsén, Erik; … - In: Computational management science 18 (2021) 3, pp. 299-324

Persistent link: https://www.econbiz.de/10012615134

A worst-case approach for interest rate stresses and stock crashes

Beißer, Marcel; Geisinger, Leander; Korn, Ralf - In: IMA journal of management mathematics 33 (2022) 3, pp. 491-510

Persistent link: https://www.econbiz.de/10013253394

Optimal portfolio choice with crash risk and model ambiguity

Korn, Ralf; Müller, Lukas - In: International journal of theoretical and applied … 25 (2022) 1, pp. 1-35

Persistent link: https://www.econbiz.de/10013189925

Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks

Hammoudeh, Shawkat; Santos, Paulo Araújo; Al-Hassan, … - In: The North American journal of economics and finance : a … 25 (2013), pp. 318-334

Persistent link: https://www.econbiz.de/10009779210

A simulation-based methodology for evaluating hedge fund investments

Molyboga, Marat; L'Ahelec, Christophe - In: The journal of asset management 17 (2016) 6, pp. 434-452

Persistent link: https://www.econbiz.de/10011648197