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subject:"Portfolio selection"
isPartOf:"Journal of economic dynamics & control"
~isPartOf:"Mathematics and financial economics"
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ECONIS (ZBW)
234
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1
Robust utility maximization with nonlinear continuous semimartingales
Criens, David
;
Niemann, Lars
- In:
Mathematics and financial economics
17
(
2023
)
3
,
pp. 499-536
Persistent link: https://www.econbiz.de/10014381096
Saved in:
2
Optimal portfolios in the presence of stress scenarios : a worst-case approach
Korn, Ralf
;
Müller, Lukas
- In:
Mathematics and financial economics
16
(
2022
)
1
,
pp. 153-185
Persistent link: https://www.econbiz.de/10013167740
Saved in:
3
Robust utility maximizing strategies under model uncertainty and their convergence
Sass, Jörn
;
Westphal, Dorothee
- In:
Mathematics and financial economics
16
(
2022
)
2
,
pp. 367-397
Persistent link: https://www.econbiz.de/10013167940
Saved in:
4
Dynamic spending and portfolio decisions with a soft social norm
Mork, Knut Anton
;
Harang, Fabian Andsem
;
Trønnes, …
- In:
Journal of economic dynamics & control
151
(
2023
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014478676
Saved in:
5
Non-concave portfolio optimization with average value-at-risk
Zhang, Fangyuan
- In:
Mathematics and financial economics
17
(
2023
)
2
,
pp. 203-237
Persistent link: https://www.econbiz.de/10014328920
Saved in:
6
A general method for analysis and valuation of drawdown risk
Zhang, Gongqiu
;
Li, Lingfei
- In:
Journal of economic dynamics & control
152
(
2023
),
pp. 1-37
Persistent link: https://www.econbiz.de/10014427618
Saved in:
7
Asset home bias in debtor and creditor countries
Zhang, Ning
- In:
Journal of economic dynamics & control
157
(
2023
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014495377
Saved in:
8
Optimal investment problem under behavioral setting : a Lagrange duality perspective
Bi, Xiuchun
;
Cui, Zhenyu
;
Fan, Jiacheng
;
Yuan, Lvning
; …
- In:
Journal of economic dynamics & control
156
(
2023
),
pp. 1-31
Persistent link: https://www.econbiz.de/10014480345
Saved in:
9
Optimal collective investment : an analysis of individual welfare
Branger, Nicole
;
Chen, An
;
Mahayni, Antje
;
Nguyen, Thai
- In:
Mathematics and financial economics
17
(
2023
)
1
,
pp. 101-125
Persistent link: https://www.econbiz.de/10014226255
Saved in:
10
An optimal portfolio and consumption problem with a benchmark and partial information
Bellalah, Mondher
;
Zhang, Detao
;
Zhang, Panpan
- In:
Mathematics and financial economics
17
(
2023
)
1
,
pp. 127-152
Persistent link: https://www.econbiz.de/10014226256
Saved in:
11
Robust utility maximization under model uncertainty via a penalization approach
Guo, Ivan
;
Langrené, Nicolas
;
Loeper, Grégoire
;
Ning, Wei
- In:
Mathematics and financial economics
16
(
2022
)
1
,
pp. 51-88
Persistent link: https://www.econbiz.de/10013167700
Saved in:
12
Semi-analytical solution for consumption and investment problem under quadratic security market model with inflation risk
Batbold, Bolorsuvd
;
Kikuchi, Kentaro
;
Kusuda, Koji
- In:
Mathematics and financial economics
16
(
2022
)
3
,
pp. 509-537
Persistent link: https://www.econbiz.de/10013438866
Saved in:
13
Contagion accounting in stress-testing
Aldasoro, Iñaki
;
Hüser, Anne-Caroline
;
Kok Sørensen, …
- In:
Journal of economic dynamics & control
137
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013464710
Saved in:
14
Copula shrinkage and portfolio allocation in ultra-high dimensions
Anatolyev, Stanislav
;
Pyrlik, Vladimir
- In:
Journal of economic dynamics & control
143
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013539522
Saved in:
15
Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution
Guan, Guohui
;
Li, Bin
- In:
Journal of economic dynamics & control
143
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013539527
Saved in:
16
Robust investment strategies with two risky assets
Lin, Qian
;
Luo, Yulei
;
Sun, Xianming
- In:
Journal of economic dynamics & control
134
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013383753
Saved in:
17
The impacts of interest rates on banks' loan portfolio risk-taking
Adão, Luiz F. S.
;
Silveira, Douglas
;
Ely, Regis Augusto
; …
- In:
Journal of economic dynamics & control
144
(
2022
),
pp. 1-23
Persistent link: https://www.econbiz.de/10013543114
Saved in:
18
Investment timing and capacity decisions with time-to-build in a duopoly market
Jeon, Haejun
- In:
Journal of economic dynamics & control
122
(
2021
),
pp. 1-33
Persistent link: https://www.econbiz.de/10012666034
Saved in:
19
On the market price of risk
Korkie, Robert M.
;
Turtle, Harry J.
- In:
Mathematics and financial economics
15
(
2021
)
4
,
pp. 675-718
Persistent link: https://www.econbiz.de/10012616854
Saved in:
20
Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics
Junca, Mauricio
;
Serrano, Rafael
- In:
Mathematics and financial economics
15
(
2021
)
4
,
pp. 775-809
Persistent link: https://www.econbiz.de/10012616858
Saved in:
21
Risk management with expected shortfall
Wei, Pengyu
- In:
Mathematics and financial economics
15
(
2021
)
4
,
pp. 847-883
Persistent link: https://www.econbiz.de/10012616860
Saved in:
22
Equilibrium effects of intraday order-splitting benchmarks
Choi, Jin Hyuk
;
Larsen, Kasper
;
Seppi, Duane J.
- In:
Mathematics and financial economics
15
(
2021
)
2
,
pp. 315-352
Persistent link: https://www.econbiz.de/10012500028
Saved in:
23
Safety-first portfolio selection
Chiu, Wan-Yi
- In:
Mathematics and financial economics
15
(
2021
)
3
,
pp. 657-674
Persistent link: https://www.econbiz.de/10012586212
Saved in:
24
Dual representations for systemic risk measures
Ararat, Çağın
;
Rudloff, Birgit
- In:
Mathematics and financial economics
14
(
2020
)
1
,
pp. 139-174
Persistent link: https://www.econbiz.de/10012239989
Saved in:
25
Von Neumann-Gale dynamics and capital growth in financial markets with frictions
Babaei, Esmaeil
;
Evstigneev, Igor V.
;
Schenk-Hoppé, …
- In:
Mathematics and financial economics
14
(
2020
)
2
,
pp. 283-305
Persistent link: https://www.econbiz.de/10012240281
Saved in:
26
Properly discounted asset prices are semimartingales
Bálint, Dániel
;
Schweizer, Martin
- In:
Mathematics and financial economics
14
(
2020
)
4
,
pp. 661-674
Persistent link: https://www.econbiz.de/10012321854
Saved in:
27
Mean-variance efficiency of optimal power and logarithmic utility portfolios
Bodnar, Taras
;
Ivasiuk, Dmytro
;
Parolya, Nestor
; …
- In:
Mathematics and financial economics
14
(
2020
)
4
,
pp. 675-698
Persistent link: https://www.econbiz.de/10012321865
Saved in:
28
Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility
Yan, Tingjin
;
Han, Bingyan
;
Pun, Chi Seng
;
Wong, Hoi Ying
- In:
Mathematics and financial economics
14
(
2020
)
4
,
pp. 699-724
Persistent link: https://www.econbiz.de/10012321867
Saved in:
29
Capital allocation rules and acceptance sets
Canna, Gabriele
;
Centrone, Francesca
;
Rosazza Gianin, …
- In:
Mathematics and financial economics
14
(
2020
)
4
,
pp. 759-781
Persistent link: https://www.econbiz.de/10012321876
Saved in:
30
Horizon-unbiased investment with ambiguity
Lin, Qian
;
Sun, Xianming
;
Zhou, Chao
- In:
Journal of economic dynamics & control
114
(
2020
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012502569
Saved in:
31
Large-scale minimum variance portfolio allocation using double regularization
Bian, Zhicun
;
Liao, Yin
;
O'Neill, Michael
;
Shi, Jing
; …
- In:
Journal of economic dynamics & control
116
(
2020
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012503240
Saved in:
32
Factor investing for the long run
Lioui, Abraham
;
Tarelli, Andrea
- In:
Journal of economic dynamics & control
117
(
2020
),
pp. 1-31
Persistent link: https://www.econbiz.de/10012503351
Saved in:
33
Gain/loss asymmetric stochastic differential utility
Shigeta, Yuki
- In:
Journal of economic dynamics & control
118
(
2020
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012503409
Saved in:
34
Short-run risk, business cycle, and the value premium
He, Yunhao
;
Leippold, Markus
- In:
Journal of economic dynamics & control
120
(
2020
),
pp. 1-36
Persistent link: https://www.econbiz.de/10012503891
Saved in:
35
Mean-variance analysis and the Modified Market Portfolio
Wenzelburger, Jan
- In:
Journal of economic dynamics & control
111
(
2020
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012501447
Saved in:
36
Dynamic asset allocation with relative wealth concerns in incomplete markets
Kraft, Holger
;
Meyer-Wehmann, André
;
Seifried, Frank Thomas
- In:
Journal of economic dynamics & control
113
(
2020
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012502492
Saved in:
37
Wright meets Markowitz : how standard portfolio theory changes when assets are technologies following experience curves
Way, Rupert
;
Lafond, François
;
Lillo, Fabrizio
; …
- In:
Journal of economic dynamics & control
101
(
2019
),
pp. 211-238
Persistent link: https://www.econbiz.de/10012131054
Saved in:
38
Markowitz with regret
Baule, Rainer
;
Korn, Olaf
;
Kuntz, Laura-Chloé
- In:
Journal of economic dynamics & control
103
(
2019
),
pp. 1-24
Persistent link: https://www.econbiz.de/10012131071
Saved in:
39
Perturbations in DSGE models : an odd derivatives theorem
Lott, Sherwin
- In:
Journal of economic dynamics & control
106
(
2019
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012131998
Saved in:
40
A unified model for regularized and robust portfolio optimization
Plachel, Lukas
- In:
Journal of economic dynamics & control
109
(
2019
),
pp. 1-23
Persistent link: https://www.econbiz.de/10012314300
Saved in:
41
Hedging recessions
Branger, Nicole
;
Larsen, Linda Sandris
;
Munk, Claus
- In:
Journal of economic dynamics & control
107
(
2019
),
pp. 1-24
Persistent link: https://www.econbiz.de/10012312632
Saved in:
42
Portfolio selection with inflation-linked bonds and indexation lags
Li, Kai
- In:
Journal of economic dynamics & control
107
(
2019
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012312637
Saved in:
43
Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
Strub, Moris S.
;
Li, Duan
;
Cui, Xiangyu
;
Gao, Jianjun
- In:
Journal of economic dynamics & control
108
(
2019
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012313656
Saved in:
44
Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles
Jarrow, Robert A.
- In:
Mathematics and financial economics
13
(
2019
)
1
,
pp. 115-146
Persistent link: https://www.econbiz.de/10012055755
Saved in:
45
Optimal credit investment and risk control for an insurer with regime-switching
Bo, Lijun
;
Liao, Huafu
;
Wang, Yongjin
- In:
Mathematics and financial economics
13
(
2019
)
1
,
pp. 147-172
Persistent link: https://www.econbiz.de/10012055756
Saved in:
46
Borrowing constraints, effective flexibility in labor supply, and portfolio selection
Lee, Ho-Seok
;
Shim, Gyoocheol
;
Shin, Yong Hyun
- In:
Mathematics and financial economics
13
(
2019
)
2
,
pp. 173-208
Persistent link: https://www.econbiz.de/10012055785
Saved in:
47
Optimal investment with random endowments and transaction costs : duality theory and shadow prices
Bayraktar, Erhan
;
Yu, Xiang
- In:
Mathematics and financial economics
13
(
2019
)
2
,
pp. 253-286
Persistent link: https://www.econbiz.de/10012055802
Saved in:
48
Increasing risk aversion and life-cycle investing
Back, Kerry E.
;
Liu, Ruomeng
;
Teguia, Alberto
- In:
Mathematics and financial economics
13
(
2019
)
2
,
pp. 287-302
Persistent link: https://www.econbiz.de/10012055804
Saved in:
49
Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs
Yang, Zhou
;
Liang, Gechun
;
Zhou, Chao
- In:
Mathematics and financial economics
13
(
2019
)
3
,
pp. 393-427
Persistent link: https://www.econbiz.de/10012055851
Saved in:
50
Bubbles in assets with finite life
Berestycki, Henri
;
Bruggeman, Cameron
;
Monneau, Regis
; …
- In:
Mathematics and financial economics
13
(
2019
)
3
,
pp. 429-458
Persistent link: https://www.econbiz.de/10012055863
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