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subject:"Portfolio-Management"
subject:"Stochastischer Prozess"
~language:"eng"
~isPartOf:"Mathematics and financial economics"
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Portfolio-Management
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Jarrow, Robert A.
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Mathematics and financial economics
European journal of operational research : EJOR
666
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378
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269
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255
Finance and stochastics
254
International journal of theoretical and applied finance
232
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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
Dynamically complete markets under Brownian motion
Diasakos, Theodoros
- In:
Mathematics and financial economics
15
(
2021
)
4
,
pp. 719-745
Persistent link: https://www.econbiz.de/10012616855
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 robust consumption model when the intensity of technological progress is ambiguous
Tsujimura, Motoh
;
Yoshioka, Hidekazu
- In:
Mathematics and financial economics
17
(
2023
)
1
,
pp. 23-47
Persistent link: https://www.econbiz.de/10014226249
Saved in:
7
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:
8
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:
9
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
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10
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
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11
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
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12
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
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13
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
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14
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:
15
Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model
Mehrdoust, Farshid
;
Noorani, Idin
- In:
Mathematics and financial economics
15
(
2021
)
3
,
pp. 501-543
Persistent link: https://www.econbiz.de/10012586206
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16
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
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17
Fractional risk process in insurance
Kumar, Arun
;
Leonenko, Nikolaj
;
Pichler, Alois
- In:
Mathematics and financial economics
14
(
2020
)
1
,
pp. 43-65
Persistent link: https://www.econbiz.de/10012239969
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18
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
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19
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
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20
A generalized stochastic differential utility driven by G-Brownian motion
Lin, Qian
;
Tian, Dejian
;
Tian, Weidong
- In:
Mathematics and financial economics
14
(
2020
)
3
,
pp. 547-576
Persistent link: https://www.econbiz.de/10012240314
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21
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
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22
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
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23
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
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24
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
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25
Cointegration in continuous time for factor models
Benth, Fred Espen
;
Süss, Andre
- In:
Mathematics and financial economics
13
(
2019
)
1
,
pp. 87-114
Persistent link: https://www.econbiz.de/10012055754
Saved in:
26
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:
27
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:
28
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:
29
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:
30
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
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31
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:
32
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
Saved in:
33
A macroscopic portfolio model : from rational agents to bounded rationality
Trimborn, Torsten
- In:
Mathematics and financial economics
13
(
2019
)
3
,
pp. 491-518
Persistent link: https://www.econbiz.de/10012055868
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34
Consumption-investment problem with pathwise ambiguity under logarithmic utility
Liang, Zongxia
;
Ma, Ming
- In:
Mathematics and financial economics
13
(
2019
)
4
,
pp. 519-541
Persistent link: https://www.econbiz.de/10012055872
Saved in:
35
Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty
Bismuth, Alexis
;
Guéant, Olivier
;
Pu, Jiang
- In:
Mathematics and financial economics
13
(
2019
)
4
,
pp. 661-719
Persistent link: https://www.econbiz.de/10012055900
Saved in:
36
Robust return risk measures
Bellini, Fabio
;
Laeven, Roger J. A.
;
Rosazza Gianin, …
- In:
Mathematics and financial economics
12
(
2018
)
1
,
pp. 5-32
Persistent link: https://www.econbiz.de/10011963258
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37
Optimal rebalancing frequencies for multidimensional portfolios
Ekren, Ibrahim
;
Liu, Ren
;
Muhle-Karbe, Johannes
- In:
Mathematics and financial economics
12
(
2018
)
2
,
pp. 165-191
Persistent link: https://www.econbiz.de/10011963751
Saved in:
38
Disentangling price, risk and model risk : V&R measures
Frittelli, Marco
;
Maggis, Marco
- In:
Mathematics and financial economics
12
(
2018
)
2
,
pp. 219-247
Persistent link: https://www.econbiz.de/10011963851
Saved in:
39
Sensitivity analysis for marked Hawkes processes : application to CLO pricing
Bernis, Guillaume
;
Salhi, Kaouther
;
Scotti, Simone
- In:
Mathematics and financial economics
12
(
2018
)
4
,
pp. 541-559
Persistent link: https://www.econbiz.de/10011963880
Saved in:
40
Dynamic asset allocation with event risk, transaction costs and predictable returns
Simonato, Jean-Guy
- In:
Mathematics and financial economics
12
(
2018
)
4
,
pp. 561-587
Persistent link: https://www.econbiz.de/10011963881
Saved in:
41
The robust Merton problem of an ambiguity averse investor
Biagini, Sara
;
Pınar, Mustafa Ç.
- In:
Mathematics and financial economics
11
(
2017
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10011900505
Saved in:
42
Diversification, protection of liability holders and regulatory arbitrage
Koch Medina, Pablo
;
Munari, Cosimo-Andrea
;
Ṥikić, Mario
- In:
Mathematics and financial economics
11
(
2017
)
1
,
pp. 63-83
Persistent link: https://www.econbiz.de/10011900516
Saved in:
43
Optimal mean-variance portfolio selection
Pedersen, Jesper Lund
;
Peskir, Goran
- In:
Mathematics and financial economics
11
(
2017
)
2
,
pp. 137-160
Persistent link: https://www.econbiz.de/10011900522
Saved in:
44
Existence of solutions in non-convex dynamic programming and optimal investment
Pennanen, Teemu
;
Perkkiö, Ari-Pekka
;
Rásonyi, Miklós
- In:
Mathematics and financial economics
11
(
2017
)
2
,
pp. 173-188
Persistent link: https://www.econbiz.de/10011900537
Saved in:
45
Hedging with temporary price impact
Bank, Peter
;
Soner, Halil Mete
;
Voß, Moritz
- In:
Mathematics and financial economics
11
(
2017
)
2
,
pp. 215-239
Persistent link: https://www.econbiz.de/10011900542
Saved in:
46
Additive portfolio improvement and utility-efficient payoffs
Kassberger, Stefan
;
Liebmann, Thomas
- In:
Mathematics and financial economics
11
(
2017
)
2
,
pp. 241-262
Persistent link: https://www.econbiz.de/10011900543
Saved in:
47
Optimal investment in markets with over and under-reaction to information
Callegaro, Giorgia
;
Gaïgi, M’hamed
;
Scotti, Simone
; …
- In:
Mathematics and financial economics
11
(
2017
)
3
,
pp. 299-322
Persistent link: https://www.econbiz.de/10011900563
Saved in:
48
The effect of market power on risk-sharing
Anthropelos, Michail
- In:
Mathematics and financial economics
11
(
2017
)
3
,
pp. 323-368
Persistent link: https://www.econbiz.de/10011900565
Saved in:
49
Household risk aversion and portfolio choices
Zhang, Weiwei
- In:
Mathematics and financial economics
11
(
2017
)
3
,
pp. 369-381
Persistent link: https://www.econbiz.de/10011900569
Saved in:
50
Strong asymptotic arbitrage in the large fractional binary market
Cordero, Fernando
;
Perez-Ostafe, Lavinia
- In:
Mathematics and financial economics
10
(
2016
)
2
,
pp. 179-202
Persistent link: https://www.econbiz.de/10011485902
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