Similar Search Results

Optimal portfolios for exponential Lévy processes

Kallsen, Jan - In: Mathematical methods of operations research 51 (2000) 3, pp. 357-374

Persistent link: https://www.econbiz.de/10001519649

A utility maximization approach to hedging in incomplete markets

Kallsen, Jan - In: Mathematical methods of operations research 50 (1999) 2, pp. 321-338

Persistent link: https://www.econbiz.de/10001428821

Local risk-minimization with multiple assets under illiquidity with applications in energy markets

Christodoulou, Panagiotis; Detering, Nils; … - In: International journal of theoretical and applied finance 21 (2018) 4, pp. 1-44

Persistent link: https://www.econbiz.de/10011891849

Asymptotic power utility-based pricing and hedging

Kallsen, Jan; Muhle-Karbe, Johannes; Vierthauer, Richard - In: Mathematics and financial economics 8 (2014) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10010235420

The general structure of optimal investment and consumption with small transaction costs

Kallsen, Jan; Muhle-Karbe, Johannes - 2013

We investigate the general structure of optimal investment and consumption with small proportional transaction costs. For a safe asset and a risky asset with general continuous dynamics, traded with random and time-varying but small transaction costs, we derive simple formal asymptotics for the...

Persistent link: https://www.econbiz.de/10009750631

Utility maximization in affine stochastic volatility models

Kallsen, Jan; Muhle-Karbe, Johannes - In: International journal of theoretical and applied finance 13 (2010) 3, pp. 459-477

Persistent link: https://www.econbiz.de/10008904356

On using shadow prices for the asymptotic analysis of portfolio optimization under proportional transaction costs

Ahrens, Lia - 2015

Persistent link: https://www.econbiz.de/10011305815

Option pricing and hedging with small transaction costs

Kallsen, Jan; Muhle-Karbe, Johannes - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 702-723

Persistent link: https://www.econbiz.de/10011350527

The general structure of optimal investment and consumption with small transaction costs

Kallsen, Jan; Muhle-Karbe, Johannes - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 659-703

Persistent link: https://www.econbiz.de/10011764966

Almost surely optimal portfolios under proportional transaction costs

Feodoria, Mark-Roman; Kallsen, Jan - In: Advanced modelling in mathematical finance : in honour …, (pp. 303-312). 2016

Persistent link: https://www.econbiz.de/10011800383