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Robust utility maximisation with intractable claims
Li, Yunhong; Xu, Zuo Quan; Zhou, Xun Yu - In: Finance and stochastics 27 (2023) 4, pp. 985-1015
Persistent link: https://www.econbiz.de/10014426411
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Dual utilities on risk aggregation under dependence uncertainty
Wang, Ruodu; Xu, Zuo Quan; Zhou, Xun Yu - In: Finance and stochastics 23 (2019) 4, pp. 1025-1048
Persistent link: https://www.econbiz.de/10012114687
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Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes
Strub, Moris S.; Zhou, Xun Yu - In: Finance and stochastics 25 (2021) 2, pp. 331-358
Persistent link: https://www.econbiz.de/10012499731
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Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
Cherny, Vladimir; Obłój, Jan - In: Finance and stochastics 17 (2013) 4, pp. 771-800
Persistent link: https://www.econbiz.de/10010183830
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Robust pricing and hedging of double no-touch options
Cox, Alexander M. G.; Obłój, Jan - In: Finance and stochastics 15 (2011) 3, pp. 573-606
Persistent link: https://www.econbiz.de/10009262457
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Robust pricing and hedging of double no-touch options
Cox, Alexander M. G.; Obłój, Jan - In: Finance and stochastics 15 (2011) 3, pp. 573-605
Persistent link: https://www.econbiz.de/10009303104
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Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
Cherny, Vladimir; Obłój, Jan - In: Finance and stochastics 17 (2013) 4, pp. 771-800
Persistent link: https://www.econbiz.de/10010190877
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Dynamically consistent investment under model uncertainty : the robust forward criteria
Källblad, Sigrid; Obłój, Jan; … - In: Finance and stochastics 22 (2018) 4, pp. 879-918
Persistent link: https://www.econbiz.de/10011946570
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Robust pricing and hedging under trading restrictions and the emergence of local martingale models
Cox, Alexander M. G.; Hou, Zhaoxu; Obłój, Jan - In: Finance and stochastics 20 (2016) 3, pp. 669-704
Persistent link: https://www.econbiz.de/10011531314
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A unified framework for robust modelling of financial markets in discrete time
Obłój, Jan; Wiesel, Johannes - In: Finance and stochastics 25 (2021) 3, pp. 427-468
Persistent link: https://www.econbiz.de/10012585981