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Worst-case optimal investment with a random number of crashes

Belak, Christoph; Christensen, Sören; Menkens, Olaf - In: Statistics & Probability Letters 90 (2014) C, pp. 140-148

We study a portfolio optimization problem in a market which is under the threat of crashes. At random times, the investor receives a warning that a crash in the risky asset might occur. We construct a strategy which renders the investor indifferent about an immediate crash of maximum size and no...

Persistent link: https://www.econbiz.de/10011039811

Worst-case portfolio optimization in a market with bubbles

Belak, Christoph; Christensen, Sören; Menkens, Olaf - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-36

Persistent link: https://www.econbiz.de/10011454368

Utility maximisation in a factor model with constant and proportional transaction costs

Belak, Christoph; Christensen, Sören - In: Finance and stochastics 23 (2019) 1, pp. 29-96

Persistent link: https://www.econbiz.de/10012023241

Backward nonlinear expectation equations

Belak, Christoph; Seiferling, Thomas; Seifried, Frank Thomas - In: Mathematics and financial economics 12 (2018) 1, pp. 111-134

Persistent link: https://www.econbiz.de/10011963319

Branching diffusions with jumps, and valuation with systemic counterparties

Belak, Christoph; Hoffmann, Daniel; Seifried, Frank Thomas - In: The journal of computational finance 25 (2021) 3, pp. 51-86

Persistent link: https://www.econbiz.de/10012873083

Optimal investment for retail investors

Belak, Christoph; Mich, Lukas; Seifried, Frank Thomas - In: Mathematical finance : an international journal of … 32 (2022) 2, pp. 555-594

Persistent link: https://www.econbiz.de/10013164562

Deutsche WertpapierService Bank AG : Marktführerschaft: kein Zufall!

Christensen, Sören - In: Management Excellence : Strategieumsetzung durch …, (pp. 175-196). 2005

Persistent link: https://www.econbiz.de/10002844876

Optimal decision under ambiguity for diffusion processes

Christensen, Sören - In: Mathematical methods of operations research 77 (2013) 2, pp. 207-226

Persistent link: https://www.econbiz.de/10009766709

A method for pricing American options using semi-infinite linear programming

Christensen, Sören - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 156-172

Persistent link: https://www.econbiz.de/10010256174

Optimal investment with deferred capital gains taxes : a simple martingale method approach

Seifried, Frank Thomas - In: Mathematical methods of operations research 71 (2010) 1, pp. 181-199

Persistent link: https://www.econbiz.de/10003958350