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Trading strategies generated by Lyapunov functions

Karatzas, Ioannis; Ruf, Johannes - In: Finance and stochastics 21 (2017) 3, pp. 753-787

Persistent link: https://www.econbiz.de/10011944423

No-arbitrage up to random horizon for quasi-left-continuous models

Aksamit, Anna; Choulli, Tahir; Deng, Jun; Jeanblanc, Monique - In: Finance and stochastics 21 (2017) 4, pp. 1103-1139

Persistent link: https://www.econbiz.de/10011944480

Trading volume, illiquidity and commonalities in FX markets

Ranaldo, Angelo; Santucci de Magistris, Paolo - 2018

, volatility, and illiquidity, (ii) stronger commonalities pertain to more efficient (arbitrage-free) currencies, and (iii) the … Amihud (2002) measure, for which we provide a theoretical underpinning, is effective in measuring FX illiquidity. Not only do … method to measure FX illiquidity and commonality. For investors, these insights should increase the efficiency of trading and …

Persistent link: https://www.econbiz.de/10011946662

Poverty lines as context deflators : a method to account for regional diversity with application to the Democratic Republic of Congo

Marivoet, Wim; Herdt, Tom de - In: The review of income and wealth : journal of the … 61 (2015) 2, pp. 329-352

Persistent link: https://www.econbiz.de/10011427645

Hicksian separability does not hold over space : implications for the design of household surveys and price questionnaires

Gibson, John K.; Kim, Bonggeun - In: Journal of development economics 114 (2015), pp. 34-40

Persistent link: https://www.econbiz.de/10011313733

Log-optimal and numéraire portfolios for market models stopped at a random time

Choulli, Tahir; Yansori, Sina - In: Finance and stochastics 26 (2022) 3, pp. 535-585

Persistent link: https://www.econbiz.de/10013440235

Ross-type dynamic portfolio separation (almost) without Ito stochastic calculus

Framstad, Nils Chr. - 2013 - This version August 16, 2013

While it is common knowledge that portfolio separation in a continuous-time lognormal market is due to the basic properties of the Gaussian distribution, the usual textbook exposition relies on dynamic programming and thus Itô stochastic calculus and the appropriate regularity conditions. This...

Persistent link: https://www.econbiz.de/10009787073

Asset pricing with heterogeneous investors and portfolio constraints

Chabakauri, Georgy - 2012

Persistent link: https://www.econbiz.de/10009619941

Dynamic optimal portfolio choice in a jump-diffusion model with investment constraints

Jin, Xing; Zhang, Kun - In: Journal of banking & finance 37 (2013) 5, pp. 1733-1746

Persistent link: https://www.econbiz.de/10009729466

Management compensation and market timing under portfolio constraints

Agarwal, Vikas; Gómez, Juan-Pedro; Priestley, Richard - In: Journal of economic dynamics & control 36 (2012) 10, pp. 1600-1625

Persistent link: https://www.econbiz.de/10009701968