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Robust utility maximization in a multivariate financial market with stochastic drift
Sass, Jörn; Westphal, Dorothee - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-28
Persistent link: https://www.econbiz.de/10012652713
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Performance analysis of the optimal strategy under partial information
Bel Hadj Ayed, Ahmed; Loeper, Grégoire; El Aoud, Sofiene; … - In: International journal of theoretical and applied finance 20 (2017) 2, pp. 1-21
Persistent link: https://www.econbiz.de/10011686856
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Portfolio optimization under a quantile hedging constraint
Bouveret, Géraldine - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-36
Persistent link: https://www.econbiz.de/10011956927
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Pricing and hedging game options in currency models with proportional transaction costs
Roux, Alet - In: International journal of theoretical and applied finance 19 (2016) 7, pp. 1-25
Persistent link: https://www.econbiz.de/10011568851
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Modeling the volatility and expected value of a diversified world index
Platen, Eckhard - In: International journal of theoretical and applied finance 7 (2004) 4, pp. 511-529
Persistent link: https://www.econbiz.de/10002108812
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The proper use of risk measures in portfolio theory
Ortobelli, Sergio; Račev, Svetlozar T.; Stoyanov, Stoyan; … - In: International journal of theoretical and applied finance 8 (2005) 8, pp. 1107-1133
Persistent link: https://www.econbiz.de/10003280039
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Crash hedging strategies and worst-case scenario portfolio optimization
Menkens, Olaf - In: International journal of theoretical and applied finance 9 (2006) 4, pp. 597-618
Persistent link: https://www.econbiz.de/10003347393
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Optimal portfolio selection strategies in the presence of transaction costs
Meng, Qiang; Weerasinghe, Ananda - In: International journal of theoretical and applied finance 9 (2006) 4, pp. 619-641
Persistent link: https://www.econbiz.de/10003347396
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On portfolio selection under extreme risk measure : the heavy-tailed ICA model
Clémençon, Stéphan; Slim, Skander - In: International journal of theoretical and applied finance 10 (2007) 3, pp. 449-474
Persistent link: https://www.econbiz.de/10003463451
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Kernel-based semi-log-optimal empirical portfolio selection strategies
Gyöfri, László; Urbán, András; Vajda, István - In: International journal of theoretical and applied finance 10 (2007) 3, pp. 505-516
Persistent link: https://www.econbiz.de/10003463461