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Search: subject:"convex duality"
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convex duality
35
Convex duality
25
Theorie
21
Theory
21
Portfolio selection
19
Portfolio-Management
19
Mathematical programming
13
Mathematische Optimierung
13
Stochastic process
11
Stochastischer Prozess
11
incomplete markets
11
Utility maximization
9
Incomplete market
8
Incomplete markets
8
Unvollkommener Markt
8
Risiko
7
Risk
7
utility maximization
7
Erwartungsnutzen
6
Expected utility
6
Nutzen
6
Option pricing theory
6
Optionspreistheorie
6
Risikomaß
6
Risk measure
6
Utility
6
model uncertainty
6
stochastic volatility
6
Hedging
5
Measurement
5
Messung
5
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5
Optimal investment
5
Utility function
5
shortfall risk
5
Coherent risk measures
4
Transaction costs
4
Transaktionskosten
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optimal control
4
optimal investment
4
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Undetermined
49
Free
10
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Article
53
Book / Working Paper
16
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Article in journal
28
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28
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5
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3
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3
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3
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English
39
Undetermined
30
Author
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Schied, Alexander
7
Larsen, Kasper
4
Bouchard, Bruno
3
Küchler, Uwe
3
Leukert, Peter
3
Mostovyi, Oleksii
3
Rudloff, Birgit
3
Siorpaes, Pietro
3
Žitković, Gordan
3
Bichuch, Maxim
2
Borwein, Jonathan M.
2
Carlier, Guillaume
2
Czichowsky, Christoph
2
Daniel Hernandez–Hernandez
2
Ekeland, Ivar
2
Fosgerau, Mogens
2
Föllmer, Hans
2
Hu, Ying
2
Jaschke, Stefan R.
2
Maréchal, Pierre
2
Naugler, David
2
Owari, Keita
2
Schachermayer, Walter
2
Soner, Halil Mete
2
Sturm, Stephan
2
Yu, Xiang
2
Acciaio, Beatrice
1
Ararat, Çağın
1
Battauz, Anna
1
Bayraktar, Erhan
1
Biagini, Sara
1
Carlier, G.
1
Cerny, Ales
1
Chong, Wing Fung
1
De Donno, Marzia
1
Deng, Shuoqing
1
Ekeland, I.
1
Escobar, Marcos
1
Frittelli, Marco
1
FÃllmer, Hans
1
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Institution
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
3
Université Paris-Dauphine (Paris IX)
3
Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
2
Collegio Carlo Alberto, Università degli Studi di Torino
1
Institute of Economic Research, Hitotsubashi University
1
Université Paris-Dauphine
1
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Finance and Stochastics
9
Finance and stochastics
6
Mathematics and financial economics
4
Economics Papers from University Paris Dauphine
3
Mathematical finance : an international journal of mathematics, statistics and financial theory
3
Mathematics of operations research
3
SFB 649 Discussion Papers
3
Annals of the Institute of Statistical Mathematics
2
Applied Mathematical Finance
2
Computational Statistics
2
International journal of theoretical and applied finance
2
Mathematical Methods of Operations Research
2
Mathematical finance : an international journal of mathematics, statistics and financial economics
2
Research paper series / Swiss Finance Institute
2
SFB 373 Discussion Paper
2
SFB 373 Discussion Papers
2
Swiss Finance Institute Research Paper
2
Asia-Pacific Financial Markets
1
Carlo Alberto Notebooks
1
Decisions in economics and finance : DEF ; a journal of applied mathematics
1
Discussion papers / Department of Economics, University of Copenhagen
1
Economic Theory
1
European journal of operational research : EJOR
1
Global COE Hi-Stat Discussion Paper Series
1
Insurance / Mathematics & economics
1
Journal of Global Optimization
1
Journal of mathematical economics
1
Journal of mathematical finance
1
Management Science
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
Market microstructure and liquidity
1
Open Access publications from Université Paris-Dauphine
1
Quantitative Finance
1
Scandinavian actuarial journal
1
Statistics & Decisions
1
Statistics & Risk Modeling
1
Stochastic Processes and their Applications
1
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RePEc
34
ECONIS (ZBW)
31
EconStor
2
Other ZBW resources
2
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1
Optimal learning for structured bandits
Parys, Bart P. G. van
;
Golrezaei, Negin
- In:
Management science : journal of the Institute for …
70
(
2024
)
6
,
pp. 3951-3998
Persistent link: https://www.econbiz.de/10014552520
Saved in:
2
How McFadden met Rockafellar and learnt to do more with less
Sørensen, Jesper R.-V.
;
Fosgerau, Mogens
-
2020
Persistent link: https://www.econbiz.de/10012319228
Saved in:
3
Geometrical bounds for variance and recentered moments
Lim, Tongseok
;
McCann, Robert J.
- In:
Mathematics of operations research
47
(
2022
)
1
,
pp. 286-296
Persistent link: https://www.econbiz.de/10013364863
Saved in:
4
How McFadden met Rockafellar and learned to do more with less
Sørensen, Jesper R. -V.
;
Fosgerau, Mogens
- In:
Journal of mathematical economics
100
(
2022
),
pp. 1-11
Persistent link: https://www.econbiz.de/10013367186
Saved in:
5
Portfolio optimization with wealth-dependent risk constraints
Escobar, Marcos
;
Wahl, Markus
;
Zagst, Rudi
- In:
Scandinavian actuarial journal
2022
(
2022
)
3
,
pp. 244-268
Persistent link: https://www.econbiz.de/10013370501
Saved in:
6
Near-optimal asset allocation in financial markets with trading constraints
Kamma, Thijs
;
Pelsser, Antoon André Jean
- In:
European journal of operational research : EJOR
297
(
2022
)
2
,
pp. 766-781
Persistent link: https://www.econbiz.de/10013259935
Saved in:
7
A decomposition of general premium principles into risk and deviation
Nendel, Max
;
Riedel, Frank
;
Schmeck, Maren Diane
- In:
Insurance / Mathematics & economics
100
(
2021
),
pp. 193-209
Persistent link: https://www.econbiz.de/10012622389
Saved in:
8
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:
9
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:
10
Utility maximization with proportional transaction costs under model uncertainty
Deng, Shuoqing
;
Tan, Xiaolu
;
Yu, Xiang
- In:
Mathematics of operations research
45
(
2020
)
4
,
pp. 1210-1236
Persistent link: https://www.econbiz.de/10012319659
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