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Comparison of Option Prices in Semimartingale Models
Bergenthum, Jan; Rüschendorf, Ludger - In: Finance and Stochastics 10 (2006) 2, pp. 222-249
Persistent link: https://www.econbiz.de/10005390733
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Minimax and minimal distance martingale measures and their relationship to portfolio optimization
Goll, Thomas; Rüschendorf, Ludger - In: Finance and Stochastics 5 (2001) 4, pp. 557-581
In this paper we give a characterization of minimal distance martingale measures with respect to f-divergence distances in a general semimartingale market model. We provide necessary and sufficient conditions for minimal distance martingale measures and determine them explicitly for exponential...
Persistent link: https://www.econbiz.de/10005613412
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Worst case portfolio vectors and diversification effects
Rüschendorf, Ludger - In: Finance and Stochastics 16 (2012) 1, pp. 155-175
Persistent link: https://www.econbiz.de/10009400203
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On optimal portfolio diversification with respect to extreme risks
Mainik, Georg; Rüschendorf, Ludger - In: Finance and Stochastics 14 (2010) 4, pp. 593-623
Persistent link: https://www.econbiz.de/10008775836