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Quantile Hedging in a semi-static market with model uncertainty
Bayraktar, Erhan; Wang, Gu - In: Mathematical methods of operations research 87 (2018) 2, pp. 197-277
Persistent link: https://www.econbiz.de/10011873985
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An optimal investment strategy for insurers in incomplete markets
Badaoui, Mohamed; Fernández Cabaleiro, Begoña; … - In: Risks : open access journal 6 (2018) 2, pp. 1-23
-Lundberg process. The insurer is allowed to invest in a risky asset with stochastic volatility subject to the influence of an economic …
Persistent link: https://www.econbiz.de/10011865623
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Drawdown measures and return moments
Möller, Philipp M. - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-42
Persistent link: https://www.econbiz.de/10011957033
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Dynamic derivative strategies with stochastic interest rates and model uncertainty
Escobar, Marcos; Ferrando, Sebastian; Rubtsov, Alexey - In: Journal of economic dynamics & control 86 (2018), pp. 49-71
Persistent link: https://www.econbiz.de/10011973854
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Quantile hedging
Föllmer, Hans; Leukert, Peter - 1998
Persistent link: https://www.econbiz.de/10000992218
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Portfolio optimization under partial information: stochastic volatility in a hidden Markov model
Sass, Jörn; Haussmann, Ulrich G. - In: Operations research proceedings 2003 : selected papers …, (pp. 387-394). 2004
Persistent link: https://www.econbiz.de/10002072557
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Dynamic consumption and portfolio choice with stochastic volatility in incomplete markets
Chacko, George; Viceira, Luis M. - 1999
Persistent link: https://www.econbiz.de/10001417317
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Dynamic consumption and portfolio choice with stochastic volatility in incomplete markets
Chacko, George; Viceira, Luis M. - 1999
Persistent link: https://www.econbiz.de/10001641813
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Risk-minimizing hedging strategies under restricted information : the case of stochastic volatility models observable only at discrete random times
Frey, Rüdiger; Runggaldier, Wolfgang J. - In: Mathematical methods of operations research 50 (1999) 2, pp. 339-350
Persistent link: https://www.econbiz.de/10001428847
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Should stochastic volatility matter to the cost-constrained investor
Weiner, Scott M. - In: Mathematical finance : an international journal of … 14 (2004) 1, pp. 131-139
Persistent link: https://www.econbiz.de/10001917816