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Asymptotic power utility-based pricing and hedging
Kallsen, Jan; Muhle-Karbe, Johannes; Vierthauer, Richard - In: Mathematics and financial economics 8 (2014) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10010235420
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Efficient portfolios in financial markets with proportional transaction costs
Campi, Luciano; Jouini, Elyès; Porte, Vincent - In: Mathematics and financial economics 7 (2013) 3, pp. 281-304
Persistent link: https://www.econbiz.de/10009754853
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No-arbitrage commodity option pricing with market manipulation
Aïd, René; Callegaro, Giorgia; Campi, Luciano - In: Mathematics and financial economics 14 (2020) 3, pp. 577-603
Persistent link: https://www.econbiz.de/10012240320
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Utility maximization, risk aversion, and stochastic dominance
Beiglböck, Mathias; Muhle-Karbe, Johannes; Temme, Johannes - In: Mathematics and financial economics 6 (2012) 1, pp. 1-13
Persistent link: https://www.econbiz.de/10009544192
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Liquidation with self-exciting price impact
Cayé, Thomas; Muhle-Karbe, Johannes - In: Mathematics and financial economics 10 (2016) 1, pp. 15-28
Persistent link: https://www.econbiz.de/10011445992
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Optimal rebalancing frequencies for multidimensional portfolios
Ekren, Ibrahim; Liu, Ren; Muhle-Karbe, Johannes - In: Mathematics and financial economics 12 (2018) 2, pp. 165-191
Persistent link: https://www.econbiz.de/10011963751