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~person:"Schäl, Manfred"
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martingale measure
4
60 G 42
2
90 C 39
2
90 C 40
2
93 E 20
2
MSC Classification (1991): 90 A 09
2
Value preserving portfolios
2
dynamic programming
2
growth optimal portfolios
2
incomplete financial markets
2
interest oriented portfolios
2
logarithmic utility
2
minimal martingale measure
2
numeraire portfolios
2
optimal dynamic portfolio
2
pricing of options
2
utility maximization
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Schäl, Manfred
Schweizer, Martin
9
Ielpo, Florian
5
Lalaharison, Hanjarivo
5
Berti, Patrizia
4
Chiarella, Carl
4
Devolder, Pierre
4
Korn, Ralf
4
Pratelli, Luca
4
Riedel, Frank
4
Rigo, Pietro
4
Siu, Tak Kuen
4
ARAI, TAKUJI
3
Badescu, Alexandru
3
Campi, Luciano
3
Criens, David
3
Dhaene, Jan
3
Elliott, Robert J.
3
Frittelli, Marco
3
Guegan, Dominique
3
Imkeller, Peter
3
Jouini, Elyès
3
Kallal, Hedi
3
Kohlmann, Michael
3
Napp, Clotilde
3
Stassen, Ben
3
Vellekoop, Michel
3
Arai, Takuji
2
Biagini, Sara
2
Björk, Tomas
2
Ceci, Claudia
2
Centanni, Silvia
2
Cetin, Umut
2
Cheang, Gerald
2
Colaneri, Katia
2
Cretarola, Alessandra
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Dedu, Silvia
2
Dudenhausen, Antje
2
Fard, Farzad Alavi
2
Föllmer, Hans
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Computational Statistics
2
Mathematical Methods of Operations Research
2
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RePEc
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1
On value preserving and growth optimal portfolios
Korn, Ralf
;
Schäl, Manfred
- In:
Mathematical Methods of Operations Research
50
(
1999
)
2
,
pp. 189-218
martingale
measure
which agrees with the minimal
martingale
measure
only for complete markets. Copyright Springer-Verlag Berlin …
Persistent link: https://www.econbiz.de/10010999793
Saved in:
2
On value preserving and growth optimal portfolios
Korn, Ralf
;
Schäl, Manfred
- In:
Computational Statistics
50
(
1999
)
2
,
pp. 189-218
martingale
measure
which agrees with the minimal
martingale
measure
only for complete markets. Copyright Springer-Verlag Berlin …
Persistent link: https://www.econbiz.de/10010759389
Saved in:
3
Price systems constructed by optimal dynamic portfolios
Schäl, Manfred
- In:
Computational Statistics
51
(
2000
)
3
,
pp. 375-397
substitution' argument. Here conditions will be given such that this price is determined by a
martingale
measure
and thus by a …
Persistent link: https://www.econbiz.de/10010847835
Saved in:
4
Price systems constructed by optimal dynamic portfolios
Schäl, Manfred
- In:
Mathematical Methods of Operations Research
51
(
2000
)
3
,
pp. 375-397
substitution' argument. Here conditions will be given such that this price is determined by a
martingale
measure
and thus by a …
Persistent link: https://www.econbiz.de/10010999841
Saved in:
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