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subject:"Portfolio-Management"
isPartOf:"The American economic review"
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ECONIS (ZBW)
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1
A càdlàg rough path foundation for robust finance
Allan, Andrew L.
;
Liu, Chong
;
Prömel, David Johannes
- In:
Finance and stochastics
28
(
2024
)
1
,
pp. 215-257
Persistent link: https://www.econbiz.de/10014447739
Saved in:
2
Fundamental theorem of asset pricing with acceptable risk in markets with frictions
Arduca, Maria
;
Munari, Cosimo-Andrea
- In:
Finance and stochastics
27
(
2023
)
3
,
pp. 831-862
Persistent link: https://www.econbiz.de/10014328991
Saved in:
3
A concept of copula robustness and its applications in quantitative risk management
Zähle, Henryk
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 825-875
Persistent link: https://www.econbiz.de/10013440253
Saved in:
4
Semimartingale price systems in models with transaction costs beyond efficient friction
Kühn, Christoph
;
Molitor, Alexander
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 927-982
Persistent link: https://www.econbiz.de/10013440257
Saved in:
5
Market-to-book ratio in stochastic portfolio theory
Kim, Donghan
- In:
Finance and stochastics
27
(
2023
)
2
,
pp. 401-434
Persistent link: https://www.econbiz.de/10014253650
Saved in:
6
Martingale Schrödinger bridges and optimal semistatic portfolios
Nutz, Marcel
;
Wiesel, Johannes
;
Zhao, Long
- In:
Finance and stochastics
27
(
2023
)
1
,
pp. 233-254
Persistent link: https://www.econbiz.de/10013489593
Saved in:
7
Machine learning with kernels for portfolio valuation and risk management
Boudabsa, Lotfi
;
Filipović, Damir
- In:
Finance and stochastics
26
(
2022
)
2
,
pp. 131-172
Persistent link: https://www.econbiz.de/10013197507
Saved in:
8
Log-optimal and numéraire portfolios for market models stopped at a random time
Choulli, Tahir
;
Yansori, Sina
- In:
Finance and stochastics
26
(
2022
)
3
,
pp. 535-585
Persistent link: https://www.econbiz.de/10013440235
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9
On ruin probabilities with investments in a risky asset with a regime-switching price
Kabanov, Jurij M.
;
Pergamenščikov, Sergej M.
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 877-897
Persistent link: https://www.econbiz.de/10013440255
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10
Nonlinear expectations of random sets
Molčanov, Il'ja S.
;
Mühlemann, Anja
- In:
Finance and stochastics
25
(
2021
)
1
,
pp. 5-41
Persistent link: https://www.econbiz.de/10012433510
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11
Risk arbitrage and hedging to acceptability under transaction costs
Lépinette, Emmanuel
;
Molčanov, Il'ja S.
- In:
Finance and stochastics
25
(
2021
)
1
,
pp. 101-132
Persistent link: https://www.econbiz.de/10012433516
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12
High-frequency trading with fractional Brownian motion
Guasoni, Paolo
;
Mišura, Julija S.
;
Rásonyi, Miklós
- In:
Finance and stochastics
25
(
2021
)
2
,
pp. 277-310
Persistent link: https://www.econbiz.de/10012499687
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13
Robust state-dependent mean-variance portfolio selection : a closed-loop approach
Han, Bingyan
;
Pun, Chi Seng
;
Wong, Hoi Ying
- In:
Finance and stochastics
25
(
2021
)
3
,
pp. 529-561
Persistent link: https://www.econbiz.de/10012585986
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14
The value of a liability cash flow in discrete time subject to capital requirements
Engsner, Hampus
;
Lindensjö, Kristoffer
;
Lindskog, Filip
- In:
Finance and stochastics
24
(
2020
)
1
,
pp. 125-167
Persistent link: https://www.econbiz.de/10012253342
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15
Pathwise superhedging on prediction sets
Bartl, Daniel
;
Kupper, Michael
;
Neufeld, Ariel
- In:
Finance and stochastics
24
(
2020
)
1
,
pp. 215-248
Persistent link: https://www.econbiz.de/10012253346
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16
On the quasi-sure superhedging duality with frictions
Bayraktar, Erhan
;
Burzoni, Matteo
- In:
Finance and stochastics
24
(
2020
)
1
,
pp. 249-275
Persistent link: https://www.econbiz.de/10012253347
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17
Trading strategies generated pathwise by functions of market weights
Karatzas, Ioannis
;
Kim, Donghan
- In:
Finance and stochastics
24
(
2020
)
2
,
pp. 423-463
Persistent link: https://www.econbiz.de/10012253375
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18
Fast mean-reversion asymptotics for large portfolios of stochastic volatility models
Hambly, Ben
;
Kolliopoulos, Nikolaos
- In:
Finance and stochastics
24
(
2020
)
3
,
pp. 757-794
Persistent link: https://www.econbiz.de/10012518096
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19
Time reversal and last passage time of diffusions with applications to credit risk management
Egami, Masahiko
;
Kevkhishvili, Rusudan
- In:
Finance and stochastics
24
(
2020
)
3
,
pp. 795-825
Persistent link: https://www.econbiz.de/10012518100
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20
Utility maximisation in a factor model with constant and proportional transaction costs
Belak, Christoph
;
Christensen, Sören
- In:
Finance and stochastics
23
(
2019
)
1
,
pp. 29-96
Persistent link: https://www.econbiz.de/10012023241
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21
A multi-asset investment and consumption problem with transaction costs
Hobson, David G.
;
Tse, Alex S. L.
;
Zhu, Yeqi
- In:
Finance and stochastics
23
(
2019
)
3
,
pp. 641-676
Persistent link: https://www.econbiz.de/10012023758
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22
Financial risk measures for a network of individual agents holding portfolios of light-tailed objects
Klüppelberg, Claudia
;
Seifert, Miriam
- In:
Finance and stochastics
23
(
2019
)
4
,
pp. 795-826
Persistent link: https://www.econbiz.de/10012114659
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23
Finite-horizon optimal investment with transaction costs : construction of the optimal strategies
Belak, Christoph
;
Sass, Jörn
- In:
Finance and stochastics
23
(
2019
)
4
,
pp. 861-888
Persistent link: https://www.econbiz.de/10012114661
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24
Risk sharing for capital requirements with multidimensional security markets
Liebrich, Felix-Benedikt
;
Svindland, Gregor
- In:
Finance and stochastics
23
(
2019
)
4
,
pp. 925-973
Persistent link: https://www.econbiz.de/10012114664
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25
Does household finance matter? : small financial errors with large social costs
Bhamra, Harjoat Singh
;
Uppal, Raman
- In:
The American economic review
109
(
2019
)
3
,
pp. 1116-1154
Persistent link: https://www.econbiz.de/10011992891
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26
Optimal liquidation under stochastic liquidity
Becherer, Dirk
;
Bilarev, Todor
;
Frentrup, Peter
- In:
Finance and stochastics
22
(
2018
)
1
,
pp. 39-68
Persistent link: https://www.econbiz.de/10011945624
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27
No-arbitrage under a class of honest times
Aksamit, Anna
;
Choulli, Tahir
;
Deng, Jun
;
Jeanblanc, Monique
- In:
Finance and stochastics
22
(
2018
)
1
,
pp. 127-159
Persistent link: https://www.econbiz.de/10011945638
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28
Replicating portfolio approach to capital calculation
Cambou, Mathieu
;
Filipović, Damir
- In:
Finance and stochastics
22
(
2018
)
1
,
pp. 181-203
Persistent link: https://www.econbiz.de/10011945649
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29
An expansion in the model space in the context of utility maximization
Larsen, Kasper
;
Mostovyi, Oleksii
;
Žitković, Gordan
- In:
Finance and stochastics
22
(
2018
)
2
,
pp. 297-326
Persistent link: https://www.econbiz.de/10011945713
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30
Dynamically consistent investment under model uncertainty : the robust forward criteria
Källblad, Sigrid
;
Obłój, Jan
; …
- In:
Finance and stochastics
22
(
2018
)
4
,
pp. 879-918
Persistent link: https://www.econbiz.de/10011946570
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31
Banks as secret keepers
Dang, Tri-Vi
;
Gorton, Gary
;
Holmström, Bengt
; …
- In:
The American economic review
107
(
2017
)
4
,
pp. 1005-1029
Persistent link: https://www.econbiz.de/10011644321
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32
Hedging under multiple risk constraints
Jiao, Ying
;
Klopfenstein, Olivier
;
Tankov, Peter
- In:
Finance and stochastics
21
(
2017
)
2
,
pp. 361-396
Persistent link: https://www.econbiz.de/10011944382
Saved in:
33
Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals
Källblad, Sigrid
- In:
Finance and stochastics
21
(
2017
)
2
,
pp. 397-425
Persistent link: https://www.econbiz.de/10011944387
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34
Risk bounds for factor models
Bernard, Carole
;
Rüschendorf, Ludger
;
Vanduffel, Steven
; …
- In:
Finance and stochastics
21
(
2017
)
3
,
pp. 631-659
Persistent link: https://www.econbiz.de/10011944414
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35
Trading strategies generated by Lyapunov functions
Karatzas, Ioannis
;
Ruf, Johannes
- In:
Finance and stochastics
21
(
2017
)
3
,
pp. 753-787
Persistent link: https://www.econbiz.de/10011944423
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36
On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
Madan, Dilip B.
;
Pistorius, M.
;
Stadje, M.
- In:
Finance and stochastics
21
(
2017
)
4
,
pp. 1073-1102
Persistent link: https://www.econbiz.de/10011944476
Saved in:
37
No-arbitrage up to random horizon for quasi-left-continuous models
Aksamit, Anna
;
Choulli, Tahir
;
Deng, Jun
;
Jeanblanc, Monique
- In:
Finance and stochastics
21
(
2017
)
4
,
pp. 1103-1139
Persistent link: https://www.econbiz.de/10011944480
Saved in:
38
Model-independent superhedging under portfolio constraints
Fahim, Arash
;
Huang, Yu-Jui
- In:
Finance and stochastics
20
(
2016
)
1
,
pp. 51-81
Persistent link: https://www.econbiz.de/10011459952
Saved in:
39
Facelifting in utility maximization
Larsen, Kasper
;
Soner, Halil Mete
;
Žitković, Gordan
- In:
Finance and stochastics
20
(
2016
)
1
,
pp. 99-121
Persistent link: https://www.econbiz.de/10011460007
Saved in:
40
Asymptotic replication with modified volatility under small transaction costs
Cai, Jiatu
;
Fukasawa, Masaaki
- In:
Finance and stochastics
20
(
2016
)
2
,
pp. 381-431
Persistent link: https://www.econbiz.de/10011471177
Saved in:
41
Adaptive basket liquidation
Schöneborn, Torsten
- In:
Finance and stochastics
20
(
2016
)
2
,
pp. 455-493
Persistent link: https://www.econbiz.de/10011471455
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42
Optimal portfolio liquidation in target zone models and catalytic superprocesses
Neuman, Eyal
;
Schied, Alexander
- In:
Finance and stochastics
20
(
2016
)
2
,
pp. 495-509
Persistent link: https://www.econbiz.de/10011471483
Saved in:
43
On the optimal inflation rate
Brunnermeier, Markus Konrad
;
Sannikov, Yuliy
- In:
The American economic review
106
(
2016
)
5
,
pp. 484-489
Persistent link: https://www.econbiz.de/10011700131
Saved in:
44
Risk measures for processes and BSDEs
Penner, Irina
;
Réveillac, Anthony
- In:
Finance and stochastics
19
(
2015
)
1
,
pp. 23-66
Persistent link: https://www.econbiz.de/10011417006
Saved in:
45
Portfolio optimization with insider's initial information and counterparty risk
Hillairet, Caroline
;
Jiao, Ying
- In:
Finance and stochastics
19
(
2015
)
1
,
pp. 109-134
Persistent link: https://www.econbiz.de/10011417122
Saved in:
46
Optimal investment and price dependence in a semi-static market
Siorpaes, Pietro
- In:
Finance and stochastics
19
(
2015
)
1
,
pp. 161-187
Persistent link: https://www.econbiz.de/10011417148
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47
When terminal facelift enforces delta constraints
Chassagneux, Jean-François
;
Elie, Romuald
;
Kharroubi, Idris
- In:
Finance and stochastics
19
(
2015
)
2
,
pp. 329-362
Persistent link: https://www.econbiz.de/10011417951
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48
Asymptotics for fixed transaction costs
Altarovici, Albert Michael
;
Muhle-Karbe, Johannes
; …
- In:
Finance and stochastics
19
(
2015
)
2
,
pp. 363-414
Persistent link: https://www.econbiz.de/10011418150
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49
A model for a large investor trading at market indifference prices : I: single-period case
Bank, Peter
;
Kramkov, Dmitry
- In:
Finance and stochastics
19
(
2015
)
2
,
pp. 449-472
Persistent link: https://www.econbiz.de/10011418186
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50
Approximate hedging for nonlinear transaction costs on the volume of traded assets
Elie, Romuald
;
Lépinette, Emmanuel
- In:
Finance and stochastics
19
(
2015
)
3
,
pp. 541-581
Persistent link: https://www.econbiz.de/10011418291
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