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Mind the cap!-constrained portfolio optimisation in Heston's stochastic volatility model

Escobar, Marcos; Kschonnek, M.; Zagst, Rudi - In: Quantitative finance 23 (2023) 12, pp. 1793-1813

Persistent link: https://www.econbiz.de/10014452471

Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility

Yan, Tingjin; Han, Bingyan; Pun, Chi Seng; Wong, Hoi Ying - In: Mathematics and financial economics 14 (2020) 4, pp. 699-724

Persistent link: https://www.econbiz.de/10012321867

Optimal mean-variance portfolio selection with no-short-selling constraint

Xu, Jingsi - In: International journal of theoretical and applied finance 23 (2020) 8, pp. 1-25

Persistent link: https://www.econbiz.de/10012496930

Optimal mean-variance portfolio selection

Pedersen, Jesper Lund; Peskir, Goran - In: Mathematics and financial economics 11 (2017) 2, pp. 137-160

Persistent link: https://www.econbiz.de/10011900522

Optimal investment : bounds and heuristics

Rogers, Leonard C. G.; Zaczkowski, P. - In: The journal of computational finance 19 (2015/2016) 2, pp. 1-28

Persistent link: https://www.econbiz.de/10011442629

Portfolio optimization in DC pension scheme with unhedgeable stochastic wage

Menoncin, Francesco; Vigna, Elena - 2025

Persistent link: https://www.econbiz.de/10015436802

Multi-agent Robust Optimal Investment Problem in Incomplete Market

Kizaki, Keisuke; Saito, Taiga; Takahashi, Akihiko - 2022

This paper considers a multi-agent optimal investment problem with conservative sentiments in an incomplete market by a BSDE approach. Particularly, we formulate the conservative sentiments of the agents by a sup-inf/inf-sup problem where we take infimum on a choice of a probability measure and...

Persistent link: https://www.econbiz.de/10014239212

Consumption-portfolio optimization with recursive utility in incomplete markets

Kraft, Holger; Seifried, Frank Thomas; Steffensen, Mogens - In: Finance and stochastics 17 (2013) 1, pp. 161-196

Persistent link: https://www.econbiz.de/10009682287

Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption

Mostovyi, Oleksii - In: Finance and stochastics 19 (2015) 1, pp. 135-159

Persistent link: https://www.econbiz.de/10011417138

Utility maximization in a large market

Mostovyi, Oleksii - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 106-118

Persistent link: https://www.econbiz.de/10011969163