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Confronting model misspecification in finance : tractable collections of scenario probability measures for robust financial optimization problems
Friedman, Craig - In: International journal of theoretical and applied finance 5 (2002) 1, pp. 33-54
Persistent link: https://www.econbiz.de/10001657399
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Uncertainty aversion, robust control and asset holdings with a stochastic investment opportunity set
Vardas, Giannis; Xepapadeas, Anastasios - In: International journal of theoretical and applied finance 10 (2007) 6, pp. 985-1014
Persistent link: https://www.econbiz.de/10003630985
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Measuring model risk in financial risk management and pricing
Jokhadze, Valeriane; Schmidt, Wolfgang M. - In: International journal of theoretical and applied finance 23 (2020) 2, pp. 1-37
Persistent link: https://www.econbiz.de/10012270928
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Bayesian learning for the Markowitz portfolio selection problem
De Franco, Carmine; Nicolle, Johann; Pham, Huyên - In: International journal of theoretical and applied finance 22 (2019) 7, pp. 1-40
Persistent link: https://www.econbiz.de/10012153463
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Learning and portfolio decisions for CRRA investors
Longo, Michele; Mainini, Alessandra - In: International journal of theoretical and applied finance 19 (2016) 3, pp. 1-21
Persistent link: https://www.econbiz.de/10011523763
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Bayesian inference for the tangent portfolio
Bauder, David; Bodnar, Taras; Mazur, Stepan; Okhrin, Yarema - In: International journal of theoretical and applied finance 21 (2018) 8, pp. 1-27
Persistent link: https://www.econbiz.de/10011970903
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Effectiveness of hedging strategies under model misspecification and trading restrictions
Mahayni, Antje - In: International journal of theoretical and applied finance 6 (2003) 5, pp. 521-552
Persistent link: https://www.econbiz.de/10001787585
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A closed-form extension to the Black-Cox model
Alfonsi, Aurélien; Lelong, Jérôme - In: International journal of theoretical and applied finance 15 (2012) 8, pp. 1-30
Persistent link: https://www.econbiz.de/10009706338
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Pricing and Deltas of discretely-monitored barrier options using stratified sampling on the hitting-times to the barrier
Joshi, Mark S.; Tang, Robert - In: International journal of theoretical and applied finance 13 (2010) 5, pp. 717-750
Persistent link: https://www.econbiz.de/10008904339
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Expansion formulas for European options in a local volatility model
Benhamou, Eric; Gobet, Emmanuel; Miri, Mohammed - In: International journal of theoretical and applied finance 13 (2010) 4, pp. 603-634
Persistent link: https://www.econbiz.de/10008905020