Narrow search
Showing 1 - 6 of 6
Cover Image
Optimal growth rate in random trade time
Matsumoto, Koichi - In: Advances in mathematical economics 12 (2009), pp. 129-152
Persistent link: https://www.econbiz.de/10009902310
Cover Image
Optimal portfolio of low liquid assets with a log-utility function
Matsumoto, Koichi - In: Finance and stochastics 10 (2006) 1, pp. 121-146
Persistent link: https://www.econbiz.de/10008222874
Cover Image
Mean-Variance Hedging with Uncertain Trade Execution
Matsumoto, Koichi - In: Applied mathematical finance 16 (2009) 3-4, pp. 219-252
Persistent link: https://www.econbiz.de/10008336489
Cover Image
Dynamic programming and mean-variance hedging with partial execution risk
Matsumoto, Koichi - In: Review of derivatives research 12 (2009) 1, pp. 29-54
Persistent link: https://www.econbiz.de/10008253792
Cover Image
Mean-Variance Hedging with Uncertain Trade Execution
Matsumoto, Koichi - In: Applied mathematical finance 16 (2009) 3, pp. 219-252
Persistent link: https://www.econbiz.de/10008269398
Cover Image
Option Replication in Discrete Time with Illiquidity
Matsumoto, Koichi - In: Applied mathematical finance 20 (2013) 2, pp. 167-190
Persistent link: https://www.econbiz.de/10010074809