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OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
Jouini, E.; Schachermayer, W.; Touzi, N. - In: Mathematical Finance 18 (2008) 2, pp. 269-292
Persistent link: https://www.econbiz.de/10005023794
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Affine Processes and Application in Finance
Duffie, Darrell; Filipovic, D.; Schachermayer, W. - National Bureau of Economic Research (NBER) - 2002
We provide the definition and a complete characterization of regular affine processes. This type of process unifies the concepts of continuousstate branching processes with immigration and Ornstein-Uhlenbeck type processes. We show, and provide foundations for, a wide range of financial...
Persistent link: https://www.econbiz.de/10005725251
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AFFINE PROCESSES AND APPLICATIONS IN FINANCE
Duffie, D.; Filipovic, D.; Schachermayer, W. - 2002
Persistent link: https://www.econbiz.de/10005940363
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The dual optimizer for the growth-optimal portfolio under transaction costs
Gerhold, S.; Muhle-Karbe, J.; Schachermayer, W. - In: Finance and stochastics 17 (2013) 2, pp. 325-354
Persistent link: https://www.econbiz.de/10010091557
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Weighted norm inequalities and hedging in incomplete markets
Delbaen, F.; Monat, P.; Schachermayer, W.; Schweizer, M.; … - In: Finance and stochastics 1 (1997) 3, pp. 181-228
Persistent link: https://www.econbiz.de/10008219551
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OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
Jouini, E.; Schachermayer, W.; Touzi, N. - In: Mathematical finance : an international journal of … 18 (2008) 2, pp. 269-292
Persistent link: https://www.econbiz.de/10008221221
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Martingale Measures for Discrete-Time Processes with Infinite Horizon
Schachermayer, W. - In: Mathematical finance : an international journal of … 4 (1994) 1, pp. 25-56
Persistent link: https://www.econbiz.de/10008223935
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Affine Processes and Application in Finance
Duffie, D. - 2002
We provide the definition and a complete characterization of regular affine processes. This type of process unifies the concepts of continuousstate branching processes with immigration and Ornstein-Uhlenbeck type processes. We show, and provide foundations for, a wide range of financial...
Persistent link: https://www.econbiz.de/10012469573
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Affine Processes and Application in Finance
Duffie, Darrell - 2002
We provide the definition and a complete characterization of regular affine processes. This type of process unifies the concepts of continuousstate branching processes with immigration and Ornstein-Uhlenbeck type processes. We show, and provide foundations for, a wide range of financial...
Persistent link: https://www.econbiz.de/10012787109
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How potential investments may change the optimal portfolio for the exponential utility
Schachermayer, Walter - 2002
This paper proves that in smaller market it is optimal to invest the initial endowment into the bond.
Persistent link: https://www.econbiz.de/10005841589