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Optimal investment and consumption for financial markets with jumps under transaction costs
Egorov, Sergei; Pergamenchtchikov, Serguei - In: Finance and stochastics 28 (2024) 1, pp. 123-159
Persistent link: https://www.econbiz.de/10014447608
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Optimal portfolios with bounded capital at risk
Emmer, Susanne; Klüppelberg, Claudia; Korn, Ralf - In: Mathematical finance : an international journal of … 11 (2001) 4, pp. 365-384
Persistent link: https://www.econbiz.de/10001620446
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A geometric approach to portfolio optimization in models with transaction costs
Kabanov, Jurij M.; Klüppelberg, Claudia - In: Finance and stochastics 8 (2004) 2, pp. 207-227
Persistent link: https://www.econbiz.de/10002012544
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Optimal portfolios when stock prices follow an exponential Lévy process
Emmer, Susanne; Klüppelberg, Claudia - In: Finance and stochastics 8 (2004) 1, pp. 17-44
Persistent link: https://www.econbiz.de/10001910678
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Optimal portfolios with bounded value-at-risk
Klüppelberg, Claudia; Korn, Ralf - 1998
Persistent link: https://www.econbiz.de/10000682685
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Modelling, estimation and visualization of multivariate dependence for high-frequency data
Brodin, Erik; Klüppelberg, Claudia - In: Statistical modelling and regression structures : …, (pp. 267-300). 2010
Persistent link: https://www.econbiz.de/10003964488
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Financial risk measures for a network of individual agents holding portfolios of light-tailed objects
Klüppelberg, Claudia; Seifert, Miriam - In: Finance and stochastics 23 (2019) 4, pp. 795-826
Persistent link: https://www.econbiz.de/10012114659
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Financial risk measures for a network of individual agents holding portfolios of light-tailed objects
Klüppelberg, Claudia; Seifert, Miriam - Sonderforschungsbereich Statistical Modelling of … - 2019
Persistent link: https://www.econbiz.de/10012035248