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A universal optimal consumption rate for an insider

Øksendal, Bernt K. - In: Mathematical finance : an international journal of … 16 (2006) 1, pp. 119-129

Persistent link: https://www.econbiz.de/10003336867

The value of information in stochastic control and finance

Øksendal, Bernt K. - In: Australian economic papers 44 (2005) 4, pp. 352-364

Persistent link: https://www.econbiz.de/10003236998

Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs

Framstad, Nils Chr.; Øksendal, Bernt K.; Sulem, Agnès - In: Journal of mathematical economics 35 (2001) 2, pp. 233-257

Persistent link: https://www.econbiz.de/10001567651

Explicit representation of the minimal variance portfolio in markets driven by Lévy processes

Benth, Fred Espen; Di Nunno, Giulia; Løkka, Arne; … - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 55-72

Persistent link: https://www.econbiz.de/10001765640

A general maximum principle for anticipative stochastic control and applications to insider trading

Di Nunno, Giulia; Pamen, Olivier Menoukeu; Øksendal, … - In: Advanced mathematical methods for finance, (pp. 181-221). 2011

Persistent link: https://www.econbiz.de/10008991293

Anticipative stochastic control for Lévy processes with application to insider trading

Sulem, Agnès; Kohatsu-Higa, Arturo; Øksendal, Bernt K.; … - 2009

Persistent link: https://www.econbiz.de/10003827062

A financial market with singular drift and no arbitrage

Agram, Nacira; Øksendal, Bernt K. - In: Mathematics and financial economics 15 (2021) 3, pp. 477-500

Persistent link: https://www.econbiz.de/10012586178

Deep learning for quadratic hedging in incomplete jump market

Agram, Nacira; Øksendal, Bernt K.; Rems, Jan - In: Digital finance : smart data analytics, investment … 6 (2024) 3, pp. 463-499

Persistent link: https://www.econbiz.de/10015078228

The Investment Horizon Problem : A Resolution

Aase, Knut K. - 2009

In the canonical model of investments, the optimal fractions in the risky assets do not depend on the time horizon. This is against empirical evidence, and against the typical recommendations of portfolio managers. We demonstrate that if the intertemporal coefficient of relative risk aversion is...

Persistent link: https://www.econbiz.de/10013155200

The investment horizon problem : a resolution

Aase, Knut K. - 2009

Persistent link: https://www.econbiz.de/10003879036