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Stochastic target games and dynamic programming via regularized viscosity solutions
Bouchard, Bruno; Nutz, Marcel - In: Mathematics of operations research 41 (2016) 1, pp. 109-124
Persistent link: https://www.econbiz.de/10011448306
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Challenging the robustness of optimal portfolio investment with moving average-based strategies
Bel Hadj Ayed, Ahmed; Loeper, Grégoire; Abergel, Frédéric - In: Quantitative finance 19 (2019) 1, pp. 123-135
Persistent link: https://www.econbiz.de/10012194624
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Calibration of local-stochastic volatility models by optimal transport
Guo, Ivan; Loeper, Grégoire; Wang, Shiyi - In: Mathematical finance : an international journal of … 32 (2022) 1, pp. 46-77
Persistent link: https://www.econbiz.de/10012815947
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Robust utility maximization under model uncertainty via a penalization approach
Guo, Ivan; Langrené, Nicolas; Loeper, Grégoire; Ning, Wei - In: Mathematics and financial economics 16 (2022) 1, pp. 51-88
Persistent link: https://www.econbiz.de/10013167700
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Portfolio optimization with a prescribed terminal wealth distribution
Guo, Ivan; Langrené, Nicolas; Loeper, Grégoire; Ning, Wei - In: Quantitative finance 22 (2022) 2, pp. 333-347
Persistent link: https://www.econbiz.de/10013167753