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Nonmyopic Optimal Portfolios in Viable Markets

Cvitanić, Jakša; Malamud, Semyon - National Centre of Competence in Research - Financial … - 2010

We provide a representation for the nonmyopic optimal portfolio of an agentconsuming only at the terminal horizon when the single state variable follows ageneral diusion process and the market consists of one risky asset and a risk-freeasset. The key term of our representation is a new object...

Persistent link: https://www.econbiz.de/10009486979

Nonmyopic optimal portfolios in viable markets

Cvitanić, Jakša; Malamud, Semyon - In: Mathematics and financial economics 8 (2014) 1, pp. 71-108

Persistent link: https://www.econbiz.de/10010235416

Nonmyopic optimal portfolios in viable markets

Cvitanić, Jakša; Malamud, Semyon - 2010

We provide a representation for the nonmyopic optimal portfolio of an agent consuming only at the terminal horizon when the single state variable follows a general di usion process and the market consists of one risky asset and a risk-free asset. The key term of our representation is a new...

Persistent link: https://www.econbiz.de/10008797739

Option pricing, interest rates and risk management

Jouini, Elyès (ed.); Cvitanić, Jakša (contributor); … - 2001 - 1. publ.

Persistent link: https://www.econbiz.de/10001584028

Optimal trading under constraints

Cvitanić, Jakša - In: Financial mathematics : held in Bressanone, Italy, July …, (pp. 123-190). 1997

Persistent link: https://www.econbiz.de/10001321237

[Rezension von: Elliott, Robert J. ..., Mathematics of financial markets]

Cvitanić, Jakša - In: The journal of finance : the journal of the American … 55 (2000) 2, pp. 995-996

Persistent link: https://www.econbiz.de/10001497491

Methods of partial hedging

Cvitanić, Jakša - In: Asia-Pacific financial markets 6 (1999) 1, pp. 7-35

Persistent link: https://www.econbiz.de/10001506390

A closed-form solution to the problem of super-replication under transaction costs

Cvitanić, Jakša; Pham, Huyên; Touzi, Nizar - In: Finance and stochastics 3 (1999) 1, pp. 35-54

Persistent link: https://www.econbiz.de/10001367451

Hedging and portfolio optimization under transaction costs : a martingale approach

Cvitanić, Jakša - In: Mathematical finance : an international journal of … 6 (1996) 2, pp. 133-165

Persistent link: https://www.econbiz.de/10001201641

On dynamic measures of risk

Cvitanić, Jakša; Karatzas, Ioannis - In: Finance and stochastics 3 (1999) 4, pp. 451-482

Persistent link: https://www.econbiz.de/10001412192