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Existence of sunspot equilibria and uniqueness of spot market equilibria : the case of intrinsically complete markets

Hens, Thorsten; Mayer, János; Pilgrim, Beate - In: Essays in dynamic general equilibrium theory ; …, (pp. 75-107). 2004

Persistent link: https://www.econbiz.de/10002575868

Existence of sunspot equilibria and uniqueness of spot market equilibria : the case of intrinsically complete markets

Hens, Thorsten; Mayer, János; Pilgrim, Beate - 2004

Persistent link: https://www.econbiz.de/10002182098

A note on reward-risk portfolio selection and two-fund separation

De Giorgi, Enrico; Hens, Thorsten; Mayer, János - In: Finance research letters 8 (2011) 2, pp. 52-58

Persistent link: https://www.econbiz.de/10009301311

A Note on Reward-Risk Portfolio Selection and Two-Fund Separation

De Giorgi, Enrico - 2010

This paper presents a general reward-risk portfolio selection model and derives sufficient conditions for two-fund separation. In particular we show that many reward-risk models presented in the literature satisfy these conditions

Persistent link: https://www.econbiz.de/10013135732

General equilibrium foundations of finance : structure of incomplete markets models

Hens, Thorsten; Pilgrim, Beate - 2002

Persistent link: https://www.econbiz.de/10001713034

Sunspot equilibria and the transfer paradox

Hens, Thorsten; Pilgrim, Beate - In: Economic theory : official journal of the Society for … 24 (2004) 3, pp. 583-602

Persistent link: https://www.econbiz.de/10002208362

Non-equivalence of uniqueness of equilibria in complete and in incomplete market models

Pilgrim, Beate - In: Research in economics : an international review of economics 56 (2002) 2, pp. 143-156

Persistent link: https://www.econbiz.de/10001708087

Linearly constrained estimation by mathematical programming

Klafszky, Emil - In: European journal of operational research : EJOR 42 (1989) 3, pp. 254-267

Persistent link: https://www.econbiz.de/10001082970

Stochastic linear programming : models, theory, and computation

Kall, Peter; Mayer, János - 2011 - 2. ed.

Persistent link: https://www.econbiz.de/10008738248

A large-scale optimization model for replicating portfolios in the life insurance industry

Adelmann, Maximilian; Fernandez-Arjona, Lucio; Mayer, János - In: Operations research 69 (2021) 4, pp. 1134-1157

Persistent link: https://www.econbiz.de/10012625163