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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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Scalarization methods in multiobjective optimization, robustness, risk theory and finance
Khan, Akhtar A.; Köbis, Elisabeth; Tammer, Christiane - In: Multiple criteria decision making in finance, insurance …, (pp. 135-157). 2015
Persistent link: https://www.econbiz.de/10011374139
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An interactive approach to stochastic programming-based portfolio optimization
Köksalan, Murat; Tuncer Şakar, Ceren - In: Multiple criteria decision making and economics, (pp. 47-66). 2016
Persistent link: https://www.econbiz.de/10011547437
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SMAA-PO: project portfolio optimization problems based on stochastic multicriteria acceptability analysis
Yang, Feng; Song, Shiling; Huang, Wei; Xia, Qiong - In: Mathematics in business management : [International …, (pp. 535-547). 2015
Persistent link: https://www.econbiz.de/10011488544
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Stochastic partial differential equations and portfolio choice
Musiela, Marek; Zariphopoulou-Souganidis, Thaleia - In: Contemporary quantitative finance : essays in honour of …, (pp. 195-216). 2010
Persistent link: https://www.econbiz.de/10008749273
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Pricing without equivalent martingale measures under complete and incomplete observation
Galesso, Giorgia; Runggaldier, Wolfgang J. - In: Contemporary quantitative finance : essays in honour of …, (pp. 99-121). 2010
Persistent link: https://www.econbiz.de/10008749298
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Stochastic algorithms and numerics for mean-reverting asset trading
Zhang, Qing; Zhuang, C.; Yin, George - In: Stochastic analysis, stochastic systems, and …, (pp. 245-261). 2011
Persistent link: https://www.econbiz.de/10009271643
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Evolutionary stochastic portfolio optimization
Hochreiter, Ronald - In: Natural computing in computational finance ; [the …, (pp. 67-87). 2008
Persistent link: https://www.econbiz.de/10009515174
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Stochastic portfolio theory : an overview
Karatzas, Ioannis; Fernholz, Robert - 2009
Persistent link: https://www.econbiz.de/10003826916
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Anticipative stochastic control for Lévy processes with application to insider trading
Sulem, Agnès; Kohatsu-Higa, Arturo; Øksendal, Bernt K.; … - 2009
Persistent link: https://www.econbiz.de/10003827062