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A benchmark approach to portfolio optimization under partial information
Platen, Eckhard; Runggaldier, Wolfgang J. - In: Asia-Pacific financial markets 14 (2007) 1/2, pp. 25-43
Persistent link: https://www.econbiz.de/10003609529
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A stochastic control approach to risk management under restricted information
Runggaldier, Wolfgang J.; Zaccaria Ruggiu, Annapaola - In: Mathematical finance : an international journal of … 10 (2000) 2, pp. 277-288
Persistent link: https://www.econbiz.de/10002177738
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Verallgemeinerung auf gemischt-ganzzahlige Programmierung
Runggaldier, Wolfgang J. - In: Einführung in die Methode branch and bound : …, (pp. 107-142). 1968
Persistent link: https://www.econbiz.de/10003665941
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Classical and restricted impulse control for the exchange rate under a stochastic trend model
Runggaldier, Wolfgang J.; Yasuda, Kazuhiro - In: Journal of economic dynamics & control 91 (2018), pp. 369-390
Persistent link: https://www.econbiz.de/10011974210
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Interest rate modeling : post-crisis challenges and approaches
Grbac, Zorana; Runggaldier, Wolfgang J. - 2015
Persistent link: https://www.econbiz.de/10011699700
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Minimizing capital injections by investment and reinsurence for a piecewise deterministic reserve process model
Antonello, Michele; Cipani, Luca; Runggaldier, Wolfgang J. - In: Scandinavian actuarial journal (2018) 10, pp. 907-932
Persistent link: https://www.econbiz.de/10011939796
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Arbitrage concepts under trading restrictions in discrete-time financial markets
Fontana, Claudio; Runggaldier, Wolfgang J. - In: Journal of mathematical economics 92 (2021), pp. 66-80
Persistent link: https://www.econbiz.de/10012654141
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An Italian perspective on the development of financial mathematics from 1992 to 2008
Runggaldier, Wolfgang J. - In: Finance and stochastics 26 (2022) 1, pp. 5-31
Persistent link: https://www.econbiz.de/10012796465
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Arbitrage and utility maximization in market models with an insider
Chau, Huy N.; Runggaldier, Wolfgang J.; Tankov, Peter - In: Mathematics and financial economics 12 (2018) 4, pp. 589-614
Persistent link: https://www.econbiz.de/10011963883
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Arbitrage Concepts Under Trading Restrictions in Discrete-Time Financial Markets
Fontana, Claudio - 2020
In a discrete-time setting, we study arbitrage concepts in the presence of convex trading constraints. We show that solvability of portfolio optimization problems is equivalent to absence of arbitrage of the first kind, a condition weaker than classical absence of arbitrage opportunities. We...
Persistent link: https://www.econbiz.de/10012829838