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Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment
Bichuch, Maxim - In: Finance and stochastics 18 (2014) 3, pp. 651-694
Persistent link: https://www.econbiz.de/10010395976
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Multi-portfolio time consistency for set-valued convex and coherent risk measures
Feinstein, Zachary; Rudloff, Birgit - In: Finance and stochastics 19 (2015) 1, pp. 67-107
Persistent link: https://www.econbiz.de/10011417030
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Set-valued risk measures as backward stochastic difference inclusions and equations
Ararat, Çağın; Feinstein, Zachary - In: Finance and stochastics 25 (2021) 1, pp. 43-76
Persistent link: https://www.econbiz.de/10012433511
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Set-valued dynamic risk measures for processes and for vectors
Chen, Yanhong; Feinstein, Zachary - In: Finance and stochastics 26 (2022) 3, pp. 505-533
Persistent link: https://www.econbiz.de/10013440234
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Contagious McKean-Vlasov systems with heterogeneous impact and exposure
Feinstein, Zachary; Søjmark, Andreas - In: Finance and stochastics 27 (2023) 3, pp. 663-711
Persistent link: https://www.econbiz.de/10014328988
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Portfolio optimization under convex incentive schemes
Bichuch, Maxim; Sturm, Stephan - In: Finance and stochastics 18 (2014) 4, pp. 873-915
Persistent link: https://www.econbiz.de/10010416186