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OPTIMAL CONSUMPTION AND INVESTMENT FOR A LARGE INVESTOR: AN INTENSITY‐BASED CONTROL FRAMEWORK
Busch, Michael; Korn, Ralf; Seifried, Frank Thomas - In: Mathematical finance : an international journal of … 23 (2013) 4, pp. 687-717
Persistent link: https://www.econbiz.de/10010161821
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Consumption-portfolio optimization with recursive utility in incomplete markets
Kraft, Holger; Seifried, Frank Thomas; Steffensen, Mogens - In: Finance and stochastics 17 (2012) 1, pp. 161-196
Persistent link: https://www.econbiz.de/10010057623
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Optimal Investment for Worst-Case Crash Scenarios: A Martingale Approach
Seifried, Frank Thomas - In: Mathematics of operations research 35 (2010) 3, pp. 559-580
Persistent link: https://www.econbiz.de/10008454288
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The cutting power of preparation
Seifried, Frank Thomas - In: Mathematical methods of operations research 71 (2010) 1, pp. 85-102
Persistent link: https://www.econbiz.de/10008382715
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Optimal investment for worst-case crash scenarios: A Martingale approach Cd:110
Thomas Seifried, Frank - In: Operations research, Management science : OR MS ; the … 51 (2011) 3, pp. 231-233
Persistent link: https://www.econbiz.de/10009179800