Brugière, Pierre Quantitative portfolio management. With applications in Python. (English) Zbl 1452.91005 Springer Texts in Business and Economics. Cham: Springer (ISBN 978-3-030-37739-7/hbk; 978-3-030-37740-3/ebook). xii, 205 p. (2020). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91-02 91G10 91-08 PDF BibTeX XML Cite \textit{P. Brugière}, Quantitative portfolio management. With applications in Python. Cham: Springer (2020; Zbl 1452.91005) Full Text: DOI
Zhang, Jize; Leung, Tim; Aravkin, Aleksandr Sparse mean-reverting portfolios via penalized likelihood optimization. (English) Zbl 1430.91094 Automatica 111, Article ID 108651, 7 p. (2020). MSC: 91G10 93E20 60J60 PDF BibTeX XML Cite \textit{J. Zhang} et al., Automatica 111, Article ID 108651, 7 p. (2020; Zbl 1430.91094) Full Text: DOI
Engsner, Hampus; Lindensjö, Kristoffer; Lindskog, Filip The value of a liability cash flow in discrete time subject to capital requirements. (English) Zbl 1429.91277 Finance Stoch. 24, No. 1, 125-167 (2020). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 91G05 91G50 91G10 60G40 PDF BibTeX XML Cite \textit{H. Engsner} et al., Finance Stoch. 24, No. 1, 125--167 (2020; Zbl 1429.91277) Full Text: DOI
Garivaltis, Alex Game-theoretic optimal portfolios for jump diffusions. (English) Zbl 1443.91258 Games 10, No. 1, Paper No. 8, 9 p. (2019). MSC: 91G10 91A05 91A80 60J74 PDF BibTeX XML Cite \textit{A. Garivaltis}, Games 10, No. 1, Paper No. 8, 9 p. (2019; Zbl 1443.91258) Full Text: DOI
Cuchiero, Christa; Schachermayer, Walter; Wong, Ting-Kam Leonard Cover’s universal portfolio, stochastic portfolio theory, and the numéraire portfolio. (English) Zbl 1427.91254 Math. Finance 29, No. 3, 773-803 (2019). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G10 93E20 PDF BibTeX XML Cite \textit{C. Cuchiero} et al., Math. Finance 29, No. 3, 773--803 (2019; Zbl 1427.91254) Full Text: DOI Link arXiv
Chang, Hao; Wang, Chunfeng; Fang, Zhenming Defined-contribution pension plan with stochastic interest rate and stochastic volatility. (Chinese. English summary) Zbl 1438.91104 Control Decis. 34, No. 3, 581-590 (2019). MSC: 91G05 91G30 91G10 91B16 PDF BibTeX XML Cite \textit{H. Chang} et al., Control Decis. 34, No. 3, 581--590 (2019; Zbl 1438.91104) Full Text: DOI
Korn, Ralf; Leoff, Elisabeth Multi-asset worst-case optimal portfolios. (English) Zbl 1411.91515 Int. J. Theor. Appl. Finance 22, No. 4, Article ID 1950019, 24 p. (2019). MSC: 91G10 93E20 49L20 PDF BibTeX XML Cite \textit{R. Korn} and \textit{E. Leoff}, Int. J. Theor. Appl. Finance 22, No. 4, Article ID 1950019, 24 p. (2019; Zbl 1411.91515) Full Text: DOI
Desmettre, Sascha; Grün, Sarah; Korn, Ralf Portfolio optimization with early announced discrete dividends. (English) Zbl 07165726 Oper. Res. Lett. 46, No. 5, 548-552 (2018). MSC: 90 PDF BibTeX XML Cite \textit{S. Desmettre} et al., Oper. Res. Lett. 46, No. 5, 548--552 (2018; Zbl 07165726) Full Text: DOI
Al-Aradi, Ali; Jaimungal, Sebastian Outperformance and tracking: dynamic asset allocation for active and passive portfolio management. (English) Zbl 1418.91445 Appl. Math. Finance 25, No. 3, 268-294 (2018). MSC: 91G10 93E20 PDF BibTeX XML Cite \textit{A. Al-Aradi} and \textit{S. Jaimungal}, Appl. Math. Finance 25, No. 3, 268--294 (2018; Zbl 1418.91445) Full Text: DOI
Wang, Chun-Feng; Chang, Hao; Fang, Zhen-Ming Optimal portfolio and consumption rule with a CIR model under HARA utility. (English) Zbl 1413.91090 J. Oper. Res. Soc. China 6, No. 1, 107-137 (2018). MSC: 91G10 91B16 93E20 PDF BibTeX XML Cite \textit{C.-F. Wang} et al., J. Oper. Res. Soc. China 6, No. 1, 107--137 (2018; Zbl 1413.91090) Full Text: DOI
McGee, Richard J.; McGroarty, Frank The risk premium that never was: a fair value explanation of the volatility spread. (English) Zbl 1403.91389 Eur. J. Oper. Res. 262, No. 1, 370-380 (2017). MSC: 91G80 91G10 PDF BibTeX XML Cite \textit{R. J. McGee} and \textit{F. McGroarty}, Eur. J. Oper. Res. 262, No. 1, 370--380 (2017; Zbl 1403.91389) Full Text: DOI
Emelichev, Vladimir; Bukhtoyarov, Sergey; Mychkov, Vadzim An investment problem under multicriteriality, uncertainty and risk. (English) Zbl 1371.90085 Bul. Acad. Ştiinţe Repub. Mold., Mat. 2016, No. 3(82), 82-98 (2016). MSC: 90C09 90C29 90C31 90C47 PDF BibTeX XML Cite \textit{V. Emelichev} et al., Bul. Acad. Ştiinţe Repub. Mold., Mat. 2016, No. 3(82), 82--98 (2016; Zbl 1371.90085) Full Text: Link
Pal, Soumik; Wong, Ting-Kam Leonard The geometry of relative arbitrage. (English) Zbl 1404.91249 Math. Financ. Econ. 10, No. 3, 263-293 (2016). MSC: 91G10 60H30 91G80 PDF BibTeX XML Cite \textit{S. Pal} and \textit{T.-K. L. Wong}, Math. Financ. Econ. 10, No. 3, 263--293 (2016; Zbl 1404.91249) Full Text: DOI arXiv
Gustafson, Karl A new financial risk ratio. (English) Zbl 07183223 J. Stat. Comput. Simulation 85, No. 13, 2682-2692 (2015). MSC: 91B16 91B25 62P05 47A63 47N10 PDF BibTeX XML Cite \textit{K. Gustafson}, J. Stat. Comput. Simulation 85, No. 13, 2682--2692 (2015; Zbl 07183223) Full Text: DOI
Yener, Haluk Maximizing survival, growth and goal reaching under borrowing constraints. (English) Zbl 1395.91426 Quant. Finance 15, No. 12, 2053-2065 (2015). MSC: 91G10 PDF BibTeX XML Cite \textit{H. Yener}, Quant. Finance 15, No. 12, 2053--2065 (2015; Zbl 1395.91426) Full Text: DOI
Buckley, Winston S. The long-run excess optimal power utility of an informed investor and its approximation. (English) Zbl 1362.91034 Int. J. Oper. Res. 23, No. 2, 131-144 (2015). MSC: 91G10 60H35 PDF BibTeX XML Cite \textit{W. S. Buckley}, Int. J. Oper. Res. 23, No. 2, 131--144 (2015; Zbl 1362.91034) Full Text: DOI
Bagliano, Fabio C.; Fugazza, Carolina; Nicodano, Giovanna Optimal life-cycle portfolios for heterogeneous workers. (English) Zbl 1417.91437 Rev. Finance 18, No. 6, 2283-2323 (2014). MSC: 91G10 PDF BibTeX XML Cite \textit{F. C. Bagliano} et al., Rev. Finance 18, No. 6, 2283--2323 (2014; Zbl 1417.91437) Full Text: DOI
Cvitanić, Jakša; Malamud, Semyon Nonmyopic optimal portfolios in viable markets. (English) Zbl 1306.91123 Math. Financ. Econ. 8, No. 1, 71-108 (2014). MSC: 91G10 91B69 60H07 PDF BibTeX XML Cite \textit{J. Cvitanić} and \textit{S. Malamud}, Math. Financ. Econ. 8, No. 1, 71--108 (2014; Zbl 1306.91123) Full Text: DOI
Simaan, Yusif The opportunity cost of mean-variance choice under estimation risk. (English) Zbl 1304.91207 Eur. J. Oper. Res. 234, No. 2, 382-391 (2014). MSC: 91G10 91G70 91B16 PDF BibTeX XML Cite \textit{Y. Simaan}, Eur. J. Oper. Res. 234, No. 2, 382--391 (2014; Zbl 1304.91207) Full Text: DOI
Olszewski, Wojciech; Vohra, Rakesh Selecting a discrete portfolio. (English) Zbl 1304.91205 J. Math. Econ. 55, 69-73 (2014). MSC: 91G10 PDF BibTeX XML Cite \textit{W. Olszewski} and \textit{R. Vohra}, J. Math. Econ. 55, 69--73 (2014; Zbl 1304.91205) Full Text: DOI
Benth, Fred Espen; Lempa, Jukka Optimal portfolios in commodity futures markets. (English) Zbl 1305.91213 Finance Stoch. 18, No. 2, 407-430 (2014). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91G10 49N90 60H15 91G20 PDF BibTeX XML Cite \textit{F. E. Benth} and \textit{J. Lempa}, Finance Stoch. 18, No. 2, 407--430 (2014; Zbl 1305.91213) Full Text: DOI arXiv
Baghery, Fouzia; Haadem, Sven; Øksendal, Bernt; Turpin, Isabelle Optimal stopping and stochastic control differential games for jump diffusions. (English) Zbl 1286.93200 Stochastics 85, No. 1, 85-97 (2013). MSC: 93E20 60G40 91A23 91A60 91A10 60G51 60H05 PDF BibTeX XML Cite \textit{F. Baghery} et al., Stochastics 85, No. 1, 85--97 (2013; Zbl 1286.93200) Full Text: DOI
Gandy, Axel; Veraart, Luitgard A. M. The effect of estimation in high-dimensional portfolios. (English) Zbl 1386.91126 Math. Finance 23, No. 3, 531-559 (2013). MSC: 91G10 62P05 PDF BibTeX XML Cite \textit{A. Gandy} and \textit{L. A. M. Veraart}, Math. Finance 23, No. 3, 531--559 (2013; Zbl 1386.91126) Full Text: DOI
Palczewski, Andrzej Risk minimizing strategies for tracking a stochastic target. (English) Zbl 1266.91122 Hömberg, Dietmar (ed.) et al., System modeling and optimization. 25th IFIP TC 7 conference on system modeling and optimization, CSMO 2011, Berlin, Germany, September 12–16, 2011. Revised Selected Papers. Heidelberg: Springer (ISBN 978-3-642-36061-9/hbk; 978-3-642-36062-6/ebook). IFIP Advances in Information and Communication Technology 391, 188-196 (2013). MSC: 91G80 93E20 91G10 PDF BibTeX XML Cite \textit{A. Palczewski}, IFIP Adv. Inf. Commun. Technol. 391, 188--196 (2013; Zbl 1266.91122) Full Text: DOI
Rüschendorf, Ludger Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios. (English) Zbl 1266.91001 Springer Series in Operations Research and Financial Engineering. Berlin: Springer (ISBN 978-3-642-33589-1/hbk; 978-3-642-33590-7/ebook). xii, 408 p. (2013). Reviewer: Jonas Šiaulys (Vilnius) MSC: 91-01 91-00 91B30 91G40 PDF BibTeX XML Cite \textit{L. Rüschendorf}, Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios. Berlin: Springer (2013; Zbl 1266.91001) Full Text: DOI
He, Chaolin; Meng, Weidong Dynamic portfolio choice under the time-varying, jumps, and Knight uncertainty of asset return process. (English) Zbl 1269.93133 J. Syst. Sci. Complex. 25, No. 5, 896-908 (2012). MSC: 93E20 91G10 PDF BibTeX XML Cite \textit{C. He} and \textit{W. Meng}, J. Syst. Sci. Complex. 25, No. 5, 896--908 (2012; Zbl 1269.93133) Full Text: DOI
Shiraishi, Hiroshi A simulation approach to statistical estimation of multiperiod optimal portfolios. (English) Zbl 1244.91105 Adv. Decis. Sci. 2012, Article ID 341476, 13 p. (2012). MSC: 91G70 91G60 91G10 PDF BibTeX XML Cite \textit{H. Shiraishi}, Adv. Decis. Sci. 2012, Article ID 341476, 13 p. (2012; Zbl 1244.91105) Full Text: DOI
Ankirchner, Stefan; Dermoune, Azzouz Multiperiod mean-variance portfolio optimization via market cloning. (English) Zbl 1232.91604 Appl. Math. Optim. 64, No. 1, 135-154 (2011). MSC: 91G10 90C39 49L20 PDF BibTeX XML Cite \textit{S. Ankirchner} and \textit{A. Dermoune}, Appl. Math. Optim. 64, No. 1, 135--154 (2011; Zbl 1232.91604) Full Text: DOI
Honda, Toshiki; Kamimura, Shoji On the verification theorem of dynamic portfolio-consumption problems with stochastic market price of risk. (English) Zbl 1278.91140 Asia-Pac. Financ. Mark. 18, No. 2, 151-166 (2011). MSC: 91G10 49L20 PDF BibTeX XML Cite \textit{T. Honda} and \textit{S. Kamimura}, Asia-Pac. Financ. Mark. 18, No. 2, 151--166 (2011; Zbl 1278.91140) Full Text: DOI
Ichiba, Tomoyuki; Papathanakos, Vassilios; Banner, Adrian; Karatzas, Ioannis; Fernholz, Robert Hybrid Atlas models. (English) Zbl 1230.60046 Ann. Appl. Probab. 21, No. 2, 609-644 (2011). Reviewer: Jan Kallsen (Kiel) MSC: 60G44 91G10 60J65 PDF BibTeX XML Cite \textit{T. Ichiba} et al., Ann. Appl. Probab. 21, No. 2, 609--644 (2011; Zbl 1230.60046) Full Text: DOI arXiv
Bodnar, Taras; Zabolotskyy, Taras Sample efficient frontier in multivariate conditionally heteroscedastic elliptical models. (English) Zbl 1291.91242 Statistics 44, No. 1, 1-15 (2010). MSC: 91G70 62P05 62E20 62M10 91G10 PDF BibTeX XML Cite \textit{T. Bodnar} and \textit{T. Zabolotskyy}, Statistics 44, No. 1, 1--15 (2010; Zbl 1291.91242) Full Text: DOI
Cornell, Bradford; Cvitanić, Jakša; Goukasian, Levon Beliefs regarding fundamental value and optimal investing. (English) Zbl 1233.91237 Ann. Finance 6, No. 1, 83-105 (2010). MSC: 91G10 PDF BibTeX XML Cite \textit{B. Cornell} et al., Ann. Finance 6, No. 1, 83--105 (2010; Zbl 1233.91237) Full Text: DOI
Zeng, Yan; Li, Zhongfei Optimal investment strategy for insurers under linear constraint. (Chinese. English summary) Zbl 1240.91084 OR Trans. 14, No. 2, 106-118 (2010). MSC: 91B30 91G10 91G50 PDF BibTeX XML Cite \textit{Y. Zeng} and \textit{Z. Li}, OR Trans. 14, No. 2, 106--118 (2010; Zbl 1240.91084)
An, Ta Thi Kieu; Proske, Frank; Rubtsov, Mark A SPDE maximum principle for stochastic differential games under partial information with application to optimal portfolios on fixed income markets. (English) Zbl 1197.91050 Stochastics 82, No. 1-3, 3-23 (2010). Reviewer: Guy Jumarie (Montréal) MSC: 91A23 91A15 91G10 93E20 60H15 PDF BibTeX XML Cite \textit{T. T. K. An} et al., Stochastics 82, No. 1--3, 3--23 (2010; Zbl 1197.91050) Full Text: DOI
Harvey, Campbell R.; Liechty, John C.; Liechty, Merrill W.; Müller, Peter Portfolio selection with higher moments. (English) Zbl 1195.91181 Quant. Finance 10, No. 5, 469-485 (2010). MSC: 91G70 62F15 91G10 62P05 PDF BibTeX XML Cite \textit{C. R. Harvey} et al., Quant. Finance 10, No. 5, 469--485 (2010; Zbl 1195.91181) Full Text: DOI
Zhang, Aihua; Ewald, Christian-Oliver Optimal investment for a pension fund under inflation risk. (English) Zbl 1189.93147 Math. Methods Oper. Res. 71, No. 2, 353-369 (2010). MSC: 93E20 91G10 PDF BibTeX XML Cite \textit{A. Zhang} and \textit{C.-O. Ewald}, Math. Methods Oper. Res. 71, No. 2, 353--369 (2010; Zbl 1189.93147) Full Text: DOI
Monoyios, Michael Optimal investment and hedging under partial and inside information. (English) Zbl 1182.91160 Albrecher, Hansjörg (ed.) et al., Advanced financial modelling. Berlin: Walter de Gruyter (ISBN 978-3-11-021313-3/hbk; 978-3-11-021314-0/ebook). Radon Series on Computational and Applied Mathematics 8, 371-410 (2009). Reviewer: Nikolaos Halidias (Athens) MSC: 91G10 91G20 49N30 93E11 93C41 PDF BibTeX XML Cite \textit{M. Monoyios}, Radon Ser. Comput. Appl. Math. 8, 371--410 (2009; Zbl 1182.91160)
Korn, Ralf; Seifried, Frank Thomas A worst-case approach to continuous-time portfolio optimisation. (English) Zbl 1181.91295 Albrecher, Hansjörg (ed.) et al., Advanced financial modelling. Berlin: Walter de Gruyter (ISBN 978-3-11-021313-3/hbk; 978-3-11-021314-0/ebook). Radon Series on Computational and Applied Mathematics 8, 327-345 (2009). MSC: 91G10 93E20 91-02 49L25 60G44 PDF BibTeX XML Cite \textit{R. Korn} and \textit{F. T. Seifried}, Radon Ser. Comput. Appl. Math. 8, 327--345 (2009; Zbl 1181.91295)
Vashchenko, M. P. Investment projects yield estimation under uncertainty. (Russian. English summary) Zbl 1199.91192 Mat. Model. 21, No. 3, 18-30 (2009). Reviewer: Sergei Georgievich Zhuravlev (Moskva) MSC: 91G10 PDF BibTeX XML Cite \textit{M. P. Vashchenko}, Mat. Model. 21, No. 3, 18--30 (2009; Zbl 1199.91192) Full Text: MNR
Bodnar, Taras; Schmid, Wolfgang; Zabolotskyy, Taras Statistical inference of the efficient frontier for dependent asset returns. (English) Zbl 1312.91092 Stat. Pap. 50, No. 3, 593-604 (2009). MSC: 91G70 62P05 91G10 PDF BibTeX XML Cite \textit{T. Bodnar} et al., Stat. Pap. 50, No. 3, 593--604 (2009; Zbl 1312.91092) Full Text: DOI
Chawla, Man M. Risk-tolerant optimal efficient portfolios. (English) Zbl 1185.91156 Int. J. Appl. Math. 22, No. 3, 481-493 (2009). MSC: 91G10 91B16 PDF BibTeX XML Cite \textit{M. M. Chawla}, Int. J. Appl. Math. 22, No. 3, 481--493 (2009; Zbl 1185.91156)
Chawla, M. M. On selection of efficient portfolios for maximum long-run rate of growth. (English) Zbl 1187.91195 Int. J. Appl. Math. 22, No. 1, 149-167 (2009). MSC: 91G10 PDF BibTeX XML Cite \textit{M. M. Chawla}, Int. J. Appl. Math. 22, No. 1, 149--167 (2009; Zbl 1187.91195)
Gao, Jianwei Optimal portfolios for DC pension plans under a CEV model. (English) Zbl 1162.91411 Insur. Math. Econ. 44, No. 3, 479-490 (2009). MSC: 91B30 91B28 93E99 PDF BibTeX XML Cite \textit{J. Gao}, Insur. Math. Econ. 44, No. 3, 479--490 (2009; Zbl 1162.91411) Full Text: DOI
Skiadas, Costis Asset pricing theory. (English) Zbl 1169.91003 Princeton Series in Finance. Princeton, NJ: Princeton University Press (ISBN 978-0-691-13985-2/hbk). xv, 346 p. (2009). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91-01 91B28 91B24 PDF BibTeX XML Cite \textit{C. Skiadas}, Asset pricing theory. Princeton, NJ: Princeton University Press (2009; Zbl 1169.91003)
Ghica, Manuela A market value for a reinsurance market. (English) Zbl 1174.91489 An. Univ. Bucur., Mat. 57, No. 1, 53-68 (2008). MSC: 91B30 91A40 PDF BibTeX XML Cite \textit{M. Ghica}, An. Univ. Bucur., Mat. 57, No. 1, 53--68 (2008; Zbl 1174.91489)
Chawla, M. On mean-variance portfolio optimization. (English) Zbl 1187.91194 Int. J. Appl. Math. 21, No. 3, 473-494 (2008). MSC: 91G10 PDF BibTeX XML Cite \textit{M. Chawla}, Int. J. Appl. Math. 21, No. 3, 473--494 (2008; Zbl 1187.91194)
Bellini, Fabio; Rosazza Gianin, Emanuela Optimal portfolios with Haezendonck risk measures. (English) Zbl 1188.91198 Stat. Decis. 26, No. 2, 89-108 (2008). Reviewer: Klaus Schürger (Bonn) MSC: 91G10 60G42 60G44 62P05 PDF BibTeX XML Cite \textit{F. Bellini} and \textit{E. Rosazza Gianin}, Stat. Decis. 26, No. 2, 89--108 (2008; Zbl 1188.91198) Full Text: DOI
Palczewski, Andrzej Risk minimizing strategies for a portfolio of interest-rate securities. (English) Zbl 1151.93034 Stettner, Łukasz (ed.), Advances in mathematics of finance. Contributed papers of the 2nd general AMaMeF (advanced mathematical methods of finance) conference and Banach Center conference on advances in mathematics of finance, Bȩdlewo, Poland, April 30–May 5, 2007. Warsaw: Polish Academy of Sciences, Institute of Mathematics. Banach Center Publications 83, 195-212 (2008). MSC: 93E20 91G80 PDF BibTeX XML Cite \textit{A. Palczewski}, Banach Cent. Publ. 83, 195--212 (2008; Zbl 1151.93034)
Li, Zhan; Yuan, Xiaoling; Yang, Wanping An optimal investment portfolios model among different regions with investment sunk cost. (Chinese. English summary) Zbl 1164.91339 Math. Pract. Theory 37, No. 12, 19-26 (2007). MSC: 91B28 PDF BibTeX XML Cite \textit{Z. Li} et al., Math. Pract. Theory 37, No. 12, 19--26 (2007; Zbl 1164.91339)
Li, Z. F.; Yang, H.; Deng, X. T. Optimal dynamic portfolio selection with earnings-at-risk. (English) Zbl 1148.91019 J. Optim. Theory Appl. 132, No. 3, 459-473 (2007). Reviewer: Iulian Stoleriu (Iaşi) MSC: 91G10 93E20 60H10 60H30 PDF BibTeX XML Cite \textit{Z. F. Li} et al., J. Optim. Theory Appl. 132, No. 3, 459--473 (2007; Zbl 1148.91019) Full Text: DOI
Kohlmann, Michael; Niethammer, Christina R. On convergence to the exponential utility problem. (English) Zbl 1221.91027 Stochastic Processes Appl. 117, No. 12, 1813-1834 (2007). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91B16 60H10 60G48 91G10 PDF BibTeX XML Cite \textit{M. Kohlmann} and \textit{C. R. Niethammer}, Stochastic Processes Appl. 117, No. 12, 1813--1834 (2007; Zbl 1221.91027) Full Text: DOI
Györfi, László; Urbán, András; Vajda, István Kernel-based semi-log-optimal empirical portfolio selection strategies. (English) Zbl 1136.91437 Int. J. Theor. Appl. Finance 10, No. 3, 505-516 (2007). MSC: 91G10 PDF BibTeX XML Cite \textit{L. Györfi} et al., Int. J. Theor. Appl. Finance 10, No. 3, 505--516 (2007; Zbl 1136.91437) Full Text: DOI
Ghica, Manuela A risk-exchange model with a mixture exponential utility function. (English) Zbl 1265.62036 An. Univ. Bucureşti, Mat.-Inform. 55, 169-176 (2006). MSC: 62P05 91B30 PDF BibTeX XML Cite \textit{M. Ghica}, An. Univ. Bucureşti, Mat.-Inform. 55, 169--176 (2006; Zbl 1265.62036)
Hochreiter, R.; Pflug, G. Ch.; Wozabal, D. Multi-stage stochastic electricity portfolio optimization in liberalized energy markets. (English) Zbl 1223.90084 Ceragioli, F. (ed.) et al., System modeling and optimization. Proceedings of the 22nd IFIP TC7 conference, July 18–22, 2005, Turin, Italy. New York, NY: Springer (ISBN 0-387-32774-6/hbk). IFIP, International Federation for Information Processing 199, 219-226 (2006). MSC: 90C90 91G10 PDF BibTeX XML Cite \textit{R. Hochreiter} et al., IFIP, Int. Fed. Inf. Process. 199, 219--226 (2006; Zbl 1223.90084) Full Text: DOI
Bielecki, Tomasz R.; Pliska, Stanley R.; Sheu, Shuenn-Jyi Risk sensitive portfolio management with Cox-Ingersoll-Ross interest rates: the HJB equation. (English) Zbl 1158.91370 SIAM J. Control Optim. 44, No. 5, 1811-1843 (2006). MSC: 91B28 60H10 60H30 90C40 93E20 PDF BibTeX XML Cite \textit{T. R. Bielecki} et al., SIAM J. Control Optim. 44, No. 5, 1811--1843 (2006; Zbl 1158.91370) Full Text: DOI
Menkens, Olaf Crash hedging strategies and worst-case scenario portfolio optimization. (English) Zbl 1184.91194 Int. J. Theor. Appl. Finance 9, No. 4, 597-618 (2006). MSC: 91G10 PDF BibTeX XML Cite \textit{O. Menkens}, Int. J. Theor. Appl. Finance 9, No. 4, 597--618 (2006; Zbl 1184.91194) Full Text: DOI
Palczewski, Jan; Zabczyk, Jerzy Portfolio diversification with Markovian prices. (English) Zbl 1152.93057 Probab. Math. Stat. 25, No. 1, 75-95 (2005). MSC: 93E20 49K45 60H10 60H30 91G80 PDF BibTeX XML Cite \textit{J. Palczewski} and \textit{J. Zabczyk}, Probab. Math. Stat. 25, No. 1, 75--95 (2005; Zbl 1152.93057)
Korn, Ralf; Menkens, Olaf Worst-case scenario portfolio optimization: a new stochastic control approach. (English) Zbl 1132.91469 Math. Methods Oper. Res. 62, No. 1, 123-140 (2005). MSC: 91G10 49L20 90C39 93E20 PDF BibTeX XML Cite \textit{R. Korn} and \textit{O. Menkens}, Math. Methods Oper. Res. 62, No. 1, 123--140 (2005; Zbl 1132.91469) Full Text: DOI
Korn, Ralf Optimal portfolios with a positive lower bound on final wealth. (English) Zbl 1134.91436 Quant. Finance 5, No. 3, 315-321 (2005). MSC: 91B28 PDF BibTeX XML Cite \textit{R. Korn}, Quant. Finance 5, No. 3, 315--321 (2005; Zbl 1134.91436) Full Text: DOI
Kraft, Holger Optimal portfolios and Heston’s stochastic volatility model: an explicit solution for power utility. (English) Zbl 1134.91438 Quant. Finance 5, No. 3, 303-313 (2005). MSC: 91G10 91B70 PDF BibTeX XML Cite \textit{H. Kraft}, Quant. Finance 5, No. 3, 303--313 (2005; Zbl 1134.91438) Full Text: DOI
Schroder, Mark; Skiadas, Costis Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income. (English) Zbl 1114.91056 Stochastic Processes Appl. 115, No. 1, 1-30 (2005). MSC: 91G10 60H10 60H30 PDF BibTeX XML Cite \textit{M. Schroder} and \textit{C. Skiadas}, Stochastic Processes Appl. 115, No. 1, 1--30 (2005; Zbl 1114.91056) Full Text: DOI
Korn, Ralf Worst-case scenario investment for insurers. (English) Zbl 1111.91017 Insur. Math. Econ. 36, No. 1, 1-11 (2005). MSC: 91B28 91B30 PDF BibTeX XML Cite \textit{R. Korn}, Insur. Math. Econ. 36, No. 1, 1--11 (2005; Zbl 1111.91017) Full Text: DOI
Ekeland, Ivar; Taflin, Erik A theory of bond portfolios. (English) Zbl 1125.91051 Ann. Appl. Probab. 15, No. 2, 1260-1305 (2005). MSC: 91B28 49J55 60H07 90C46 PDF BibTeX XML Cite \textit{I. Ekeland} and \textit{E. Taflin}, Ann. Appl. Probab. 15, No. 2, 1260--1305 (2005; Zbl 1125.91051) Full Text: DOI arXiv
Chen, Zhiping Existence, uniqueness, and determinacy of a nonnegative equilibrium price vector in asset markets with general utility functions and an elliptical distribution. (English) Zbl 1056.91020 Asia-Pac. J. Oper. Res. 21, No. 3, 393-405 (2004). MSC: 91B24 91B28 PDF BibTeX XML Cite \textit{Z. Chen}, Asia-Pac. J. Oper. Res. 21, No. 3, 393--405 (2004; Zbl 1056.91020) Full Text: DOI
Hou, Chunli; Karatzas, Ioannis Least-squares approximation of random variables by stochastic integrals. (English) Zbl 1057.60066 Kunita, Hiroshi (ed.) et al., Stochastic analysis and related topics in Kyoto. In honour of Kiyoshi Itô. Lectures given at the conference, Kyoto, Japan, September 4–7, 2002. Tokyo: Mathematical Society of Japan (ISBN 4-931469-26-4/hbk). Advanced Studies in Pure Mathematics 41, 141-166 (2004). MSC: 60H30 60H05 PDF BibTeX XML Cite \textit{C. Hou} and \textit{I. Karatzas}, Adv. Stud. Pure Math. 41, 141--166 (2004; Zbl 1057.60066)
Korn, Ralf; Kraft, Holger Optimal portfolios with defaultable securities – a firm value approach. (English) Zbl 1079.91036 Int. J. Theor. Appl. Finance 6, No. 8, 793-819 (2003). MSC: 91G40 91G10 PDF BibTeX XML Cite \textit{R. Korn} and \textit{H. Kraft}, Int. J. Theor. Appl. Finance 6, No. 8, 793--819 (2003; Zbl 1079.91036) Full Text: DOI
Haines, Linda M. An approach to simple bargaining games and related problems. (English) Zbl 1022.62006 J. Stat. Plann. Inference 116, No. 2, 353-366 (2003). MSC: 62C10 62G05 62C05 91A35 PDF BibTeX XML Cite \textit{L. M. Haines}, J. Stat. Plann. Inference 116, No. 2, 353--366 (2003; Zbl 1022.62006) Full Text: DOI
Korn, Ralf; Wilmott, Paul Optimal portfolios under the threat of a crash. (English) Zbl 1111.91318 Int. J. Theor. Appl. Finance 5, No. 2, 171-187 (2002). MSC: 91B28 PDF BibTeX XML Cite \textit{R. Korn} and \textit{P. Wilmott}, Int. J. Theor. Appl. Finance 5, No. 2, 171--187 (2002; Zbl 1111.91318) Full Text: DOI
Pham, Huyên Minimizing shortfall risk and applications to finance and insurance problems. (English) Zbl 1015.93071 Ann. Appl. Probab. 12, No. 1, 143-172 (2002). Reviewer: Anatoliy Swishchuk (Toronto) MSC: 93E20 91B30 60G44 60H05 49K45 91G80 PDF BibTeX XML Cite \textit{H. Pham}, Ann. Appl. Probab. 12, No. 1, 143--172 (2002; Zbl 1015.93071) Full Text: DOI
Lapan, Harvey E.; Hennessy, David A. Symmetry and order in the portfolio allocation problem. (English) Zbl 1013.91051 Econ. Theory 19, No. 4, 747-772 (2002). Reviewer: Miguel Ángel Mirás Calvo (Vigo) MSC: 91B28 PDF BibTeX XML Cite \textit{H. E. Lapan} and \textit{D. A. Hennessy}, Econ. Theory 19, No. 4, 747--772 (2002; Zbl 1013.91051) Full Text: DOI
Haugh, M. B.; Lo, A. W. Asset allocation and derivatives. (English) Zbl 1405.91694 Quant. Finance 1, No. 1, 45-72 (2001). MSC: 91G60 91G20 91G10 60J60 PDF BibTeX XML Cite \textit{M. B. Haugh} and \textit{A. W. Lo}, Quant. Finance 1, No. 1, 45--72 (2001; Zbl 1405.91694) Full Text: DOI
Meier, Helga; Christofides, Nicos; Salkin, Gerry Capital budgeting under uncertainty–an integrated approach using contingent claims analysis and integer programming. (English) Zbl 1163.90665 Oper. Res. 49, No. 2, 196-206 (2001). MSC: 90C10 91B28 PDF BibTeX XML Cite \textit{H. Meier} et al., Oper. Res. 49, No. 2, 196--206 (2001; Zbl 1163.90665) Full Text: DOI
Choulli, T.; Hurd, T. R. The role of Hellinger processes in mathematical finance. (English) Zbl 1015.91030 Entropy 3, No. 3, 150-161 (2001). MSC: 91B28 62P05 60G99 PDF BibTeX XML Cite \textit{T. Choulli} and \textit{T. R. Hurd}, Entropy 3, No. 3, 150--161 (2001; Zbl 1015.91030) Full Text: DOI Link
Korn, Ralf; Kraft, Holger A stochastic control approach to portfolio problems with stochastic interest rates. (English) Zbl 1020.93029 SIAM J. Control Optimization 40, No. 4, 1250-1269 (2001). Reviewer: Klaus Ehemann (Karlsruhe) MSC: 93E20 91G80 60H30 PDF BibTeX XML Cite \textit{R. Korn} and \textit{H. Kraft}, SIAM J. Control Optim. 40, No. 4, 1250--1269 (2001; Zbl 1020.93029) Full Text: DOI
Bouchaud, Jean-Philippe; Potters, Marc Theory of financial risks. From statistical physics to risk management. With a foreword by Nick Dunbar. Repr. (English) Zbl 0984.91046 Cambridge: Cambridge University Press. xiv, 218 p. $ 49.95; £23.00/hbk (2001). Reviewer: Klaus Schürger (Bonn) MSC: 91B28 91-02 91B30 62M10 62M15 82C05 PDF BibTeX XML Cite \textit{J.-P. Bouchaud} and \textit{M. Potters}, Theory of financial risks. From statistical physics to risk management. With a foreword by Nick Dunbar. Repr. Cambridge: Cambridge University Press (2001; Zbl 0984.91046)
Gaivoronski, Alexei A.; Stella, Fabio Stochastic nonstationary optimization for finding universal portfolios. (English) Zbl 1017.90071 Ann. Oper. Res. 100, 165-188 (2000). MSC: 90C15 91B28 PDF BibTeX XML Cite \textit{A. A. Gaivoronski} and \textit{F. Stella}, Ann. Oper. Res. 100, 165--188 (2000; Zbl 1017.90071) Full Text: DOI
Karatzas, I.; Wang, H. A barrier option of American type. (English) Zbl 1098.91054 Appl. Math. Optimization 42, No. 3, 259-279 (2000). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 91G20 93E20 60H30 60G40 60G44 PDF BibTeX XML Cite \textit{I. Karatzas} and \textit{H. Wang}, Appl. Math. Optim. 42, No. 3, 259--279 (2000; Zbl 1098.91054) Full Text: DOI
Zhou, X. Y.; Li, D. Continuous-time mean-variance portfolio selection: a stochastic LQ framework. (English) Zbl 0998.91023 Appl. Math. Optimization 42, No. 1, 19-33 (2000). Reviewer: Martin Schweizer (München) MSC: 91G10 93E20 PDF BibTeX XML Cite \textit{X. Y. Zhou} and \textit{D. Li}, Appl. Math. Optim. 42, No. 1, 19--33 (2000; Zbl 0998.91023) Full Text: DOI
Browne, Sid Reaching goals by a deadline: digital options and continuous-time active portfolio management. (English) Zbl 0963.91053 Adv. Appl. Probab. 31, No. 2, 551-577 (1999). Reviewer: J.Dupačová (Praha) MSC: 91G10 93E20 60G40 91G20 PDF BibTeX XML Cite \textit{S. Browne}, Adv. Appl. Probab. 31, No. 2, 551--577 (1999; Zbl 0963.91053) Full Text: DOI
Karatzas, Ioannis; Shreve, Steven E. Methods of mathematical finance. (English) Zbl 0941.91032 Applications of Mathematics 39. Berlin: Springer (ISBN 0-387-94839-2). xv, 407 p. (1998). Reviewer: Neculai Curteanu (Iaşi) MSC: 91-02 91Gxx PDF BibTeX XML Cite \textit{I. Karatzas} and \textit{S. E. Shreve}, Methods of mathematical finance. Berlin: Springer (1998; Zbl 0941.91032)
Sulem, Agnès Dynamic optimization for a mixed portfolio with transaction costs. (English) Zbl 0898.90037 Rogers, L. C. G. (ed.) et al., Numerical methods in finance. Session at the Isaac Newton Institute, Cambridge, GB, 1995. Cambridge: Cambridge Univ. Press. 165-180 (1997). MSC: 91B24 91B28 49L20 90C39 PDF BibTeX XML Cite \textit{A. Sulem}, in: Numerical methods in finance. Session at the Isaac Newton Institute, Cambridge, GB, 1995. Cambridge: Cambridge Univ. Press. 165--180 (1997; Zbl 0898.90037)
Gerber, Hans U.; Shiu, Elias S. W. Actuarial bridges to dynamic hedging and option pricing. (English) Zbl 0896.62112 Insur. Math. Econ. 18, No. 3, 183-218 (1996). MSC: 62P05 91G20 91G10 60G35 PDF BibTeX XML Cite \textit{H. U. Gerber} and \textit{E. S. W. Shiu}, Insur. Math. Econ. 18, No. 3, 183--218 (1996; Zbl 0896.62112) Full Text: DOI
Wong, Dennis Generalized optimal stopping problems and financial markets. (English) Zbl 0898.90025 Pitman Research Notes in Mathematics Series. 358. Harlow: Addison Wesley Longman. 114 p. (1996). Reviewer: A.Irle MSC: 91B28 90-02 62L15 PDF BibTeX XML Cite \textit{D. Wong}, Generalized optimal stopping problems and financial markets. Harlow: Addison Wesley Longman (1996; Zbl 0898.90025)
Cvitanić, Jakša; Karatzas, Ioannis Contingent claim valuation and hedging with constrained portfolios. (English) Zbl 0844.90009 Davis, Mark H. A. (ed.) et al., Mathematical finance. Based on the proceedings of a workshop, held at IMA, University of Minnesota, Minneapolis, MN, USA 1992/93. New York, NY: Springer-Verlag. IMA Vol. Math. Appl. 65, 13-33 (1995). MSC: 91G10 93E20 PDF BibTeX XML Cite \textit{J. Cvitanić} and \textit{I. Karatzas}, IMA Vol. Math. Appl. 65, 13--33 (1995; Zbl 0844.90009)
Vardi, Y.; Lee, D. From image deblurring to optimal investments: Maximum likelihood solutions for positive linear inverse problems. (With discussion). (English) Zbl 0798.62110 J. R. Stat. Soc., Ser. B 55, No. 3, 569-612 (1993). Reviewer: I.Křivý (Ostrava) MSC: 62P99 65C99 PDF BibTeX XML Cite \textit{Y. Vardi} and \textit{D. Lee}, J. R. Stat. Soc., Ser. B 55, No. 3, 569--612 (1993; Zbl 0798.62110)
Jamshidan, Farshid Asymptotically optimal portfolios. (English) Zbl 0900.90045 Math. Finance 2, No. 2, 131-150 (1992). MSC: 91B28 90C90 91B62 PDF BibTeX XML Cite \textit{F. Jamshidan}, Math. Finance 2, No. 2, 131--150 (1992; Zbl 0900.90045) Full Text: DOI
Ocone, Daniel L.; Karatzas, Ioannis A generalized Clark representation formula, with application to optimal portfolios. (English) Zbl 0727.60070 Stochastics Stochastics Rep. 34, No. 3-4, 187-220 (1991). Reviewer: H.-M.Dietz (Eichwalde) MSC: 60H30 91G10 PDF BibTeX XML Cite \textit{D. L. Ocone} and \textit{I. Karatzas}, Stochastics Stochastics Rep. 34, No. 3--4, 187--220 (1991; Zbl 0727.60070) Full Text: DOI
van Heerwaarden, A. E.; Kaas, R.; Goovaerts, M. J. Optimal reinsurance in relation to ordering of risks. (English) Zbl 0683.62060 Insur. Math. Econ. 8, No. 1, 11-17 (1989). Reviewer: W.R.Heilmann MSC: 62P05 PDF BibTeX XML Cite \textit{A. E. van Heerwaarden} et al., Insur. Math. Econ. 8, No. 1, 11--17 (1989; Zbl 0683.62060) Full Text: DOI
Bell, Robert; Cover, Thomas M. Game-theoretic optimal portfolios. (English) Zbl 0649.90014 Manage. Sci. 34, No. 6, 724-752 (1988). MSC: 91B28 91A40 PDF BibTeX XML Cite \textit{R. Bell} and \textit{T. M. Cover}, Manage. Sci. 34, No. 6, 724--752 (1988; Zbl 0649.90014) Full Text: DOI
Back, Kerry; Pliska, Stanley R. The shadow price of information in continuous time decision problems. (English) Zbl 0628.93076 Stochastics 22, 151-186 (1987). Reviewer: M.Nisio MSC: 93E20 91G80 91B24 49N15 49K45 60G44 PDF BibTeX XML Cite \textit{K. Back} and \textit{S. R. Pliska}, Stochastics 22, 151--186 (1987; Zbl 0628.93076) Full Text: DOI
Kischka, Peter Anwendungen der statistischen Entscheidungstheorie bei der Bestimmung optimaler Portfolios. (German) Zbl 0518.62081 Mathematische Systeme in der Ökonomie, R. Henn z. 60. Geb., 289-302 (1983). MSC: 62P05 PDF BibTeX XML
Blog, B.; van der Hoek, G.; Rinnooy Kan, A. H. G.; Timmer, G. T. The optimal selection of small portfolios. (English) Zbl 0512.90013 Manage. Sci. 29, 792-798 (1983). MSC: 91B28 90B99 90C90 90C10 90C39 PDF BibTeX XML Cite \textit{B. Blog} et al., Manage. Sci. 29, 792--798 (1983; Zbl 0512.90013) Full Text: DOI
Bookstaber, Richard; Clarke, Roger An algorithm to calculate the return distribution of portfolios with option positions. (English) Zbl 0512.90011 Manage. Sci. 29, 419-429 (1983). MSC: 91B28 90B99 65C99 PDF BibTeX XML Cite \textit{R. Bookstaber} and \textit{R. Clarke}, Manage. Sci. 29, 419--429 (1983; Zbl 0512.90011) Full Text: DOI
van Moeseke, Paul Stochastic portfolio programming: The game solution. (English) Zbl 0459.90003 Stochastic programming, Proc. int. Conf., Oxford 1974, 497-505 (1980). MSC: 91B28 90C15 91A40 PDF BibTeX XML
Lindenberg, Eric B. Capital market equilibrium with price affecting institutional investors. (English) Zbl 0444.90010 Portofolio theory, 25 years after, Essays in Honor of Harry Markowitz; TIMS, Stud. Manage. Sci., Vol. 11, 109-124 (1979). MSC: 91G10 91B60 91A40 PDF BibTeX XML
Richard, Scott F. A generalized capital asset pricing model. (English) Zbl 0421.90039 Portofolio theory, 25 years after, Essays in Honor of Harry Markowitz; TIMS, Stud. Manage. Sci., Vol. 11, 215-232 (1979). MSC: 90B99 91B10 PDF BibTeX XML
Miller, Bruce L. Optimal portfolios where proceeds are a function of the current asset price. (English) Zbl 0392.90037 Optim. Techn., Proc. IFIP Conf., Würzburg 1977, Part 2, Lect. Notes Control Inf. Sci. 7, 434-442 (1978). MSC: 90B99 91B06 91B16 PDF BibTeX XML
Rios, S.; Giron, F. J. The portfolio selection problem for profits with stable distributions. (Spanish) Zbl 0438.90043 Trab. Estad. Invest. Oper. 26, 301-318 (1975). MSC: 90B99 90C32 90C90 65K05 PDF BibTeX XML Cite \textit{S. Rios} and \textit{F. J. Giron}, Trab. Estad. Invest. Oper. 26, 301--318 (1975; Zbl 0438.90043) Full Text: DOI