Zhang, Yu-Song; Fei, Chen; Pan, Hai-Feng; Huang, Jian Optimal consumption, leisure and job choice under inflationary environment. (English) Zbl 07660457 J. Oper. Res. Soc. China 11, No. 1, 83-107 (2023). MSC: 60H10 90B50 93E20 PDF BibTeX XML Cite \textit{Y.-S. Zhang} et al., J. Oper. Res. Soc. China 11, No. 1, 83--107 (2023; Zbl 07660457) Full Text: DOI OpenURL
Cheng, Yuyang; Escobar-Anel, Marcos Robust portfolio choice under the 4/2 stochastic volatility model. (English) Zbl 07653424 IMA J. Manag. Math. 34, No. 1, 221-256 (2023). MSC: 90-XX 91-XX PDF BibTeX XML Cite \textit{Y. Cheng} and \textit{M. Escobar-Anel}, IMA J. Manag. Math. 34, No. 1, 221--256 (2023; Zbl 07653424) Full Text: DOI OpenURL
Miao, Jianjun; Su, Dongling Asset market equilibrium under rational inattention. (English) Zbl 07653108 Econ. Theory 75, No. 1, 1-30 (2023). MSC: 91G10 91G30 PDF BibTeX XML Cite \textit{J. Miao} and \textit{D. Su}, Econ. Theory 75, No. 1, 1--30 (2023; Zbl 07653108) Full Text: DOI OpenURL
Chen, Zheng; Li, Zhongfei; Zeng, Yan Portfolio choice with illiquid asset for a loss-averse pension fund investor. (English) Zbl 07649585 Insur. Math. Econ. 108, 60-83 (2023). MSC: 91G05 91G10 60G46 PDF BibTeX XML Cite \textit{Z. Chen} et al., Insur. Math. Econ. 108, 60--83 (2023; Zbl 07649585) Full Text: DOI OpenURL
Wei, Pengyu; Yang, Charles; Zhuang, Yi Robust consumption and portfolio choice with derivatives trading. (English) Zbl 07583205 Eur. J. Oper. Res. 304, No. 2, 832-850 (2023). MSC: 90Bxx PDF BibTeX XML Cite \textit{P. Wei} et al., Eur. J. Oper. Res. 304, No. 2, 832--850 (2023; Zbl 07583205) Full Text: DOI OpenURL
Bellemare, Charles; Kröger, Sabine; Sossou, Kouamé Marius Optimal frequency of portfolio evaluation in a choice experiment with ambiguity and loss aversion. (English) Zbl 07605540 J. Econom. 231, No. 1, 248-264 (2022). MSC: 62-XX 91-XX PDF BibTeX XML Cite \textit{C. Bellemare} et al., J. Econom. 231, No. 1, 248--264 (2022; Zbl 07605540) Full Text: DOI OpenURL
Cui, Xiang-Yu; Li, Duan; Qiao, Xiao; Strub, Moris S. Risk and potential: an asset allocation framework with applications to robo-advising. (English) Zbl 07593076 J. Oper. Res. Soc. China 10, No. 3, 529-558 (2022). MSC: 91G10 91B16 PDF BibTeX XML Cite \textit{X.-Y. Cui} et al., J. Oper. Res. Soc. China 10, No. 3, 529--558 (2022; Zbl 07593076) Full Text: DOI OpenURL
Døskeland, Trond; Kvaerner, Jens Soerlie Cancer and portfolio choice: evidence from Norwegian register data. (English) Zbl 1497.91275 Rev. Finance 26, No. 2, 407-442 (2022). MSC: 91G10 PDF BibTeX XML Cite \textit{T. Døskeland} and \textit{J. S. Kvaerner}, Rev. Finance 26, No. 2, 407--442 (2022; Zbl 1497.91275) Full Text: DOI OpenURL
Batbold, Bolorsuvd; Kikuchi, Kentaro; Kusuda, Koji Semi-analytical solution for consumption and investment problem under quadratic security market model with inflation risk. (English) Zbl 1497.91272 Math. Financ. Econ. 16, No. 3, 509-537 (2022). MSC: 91G10 91G20 PDF BibTeX XML Cite \textit{B. Batbold} et al., Math. Financ. Econ. 16, No. 3, 509--537 (2022; Zbl 1497.91272) Full Text: DOI OpenURL
Lütkebohmert, Eva; Schmidt, Thorsten; Zhu, Tianjiao Optimal cross-currency mortgage decisions. (English) Zbl 1496.91095 Int. J. Theor. Appl. Finance 25, No. 3, Article ID 2250010, 31 p. (2022). MSC: 91G30 PDF BibTeX XML Cite \textit{E. Lütkebohmert} et al., Int. J. Theor. Appl. Finance 25, No. 3, Article ID 2250010, 31 p. (2022; Zbl 1496.91095) Full Text: DOI OpenURL
Fulton, Chad Choosing what to pay attention to. (English) Zbl 1489.91139 Theor. Econ. 17, No. 1, 153-184 (2022). MSC: 91B44 91B24 91G10 PDF BibTeX XML Cite \textit{C. Fulton}, Theor. Econ. 17, No. 1, 153--184 (2022; Zbl 1489.91139) Full Text: DOI OpenURL
Jansen, Dennis W.; Liu, Liqun Portfolio choice in the model of expected utility with a safety-first component. (English) Zbl 1492.91325 Decis. Econ. Finance 45, No. 1, 187-207 (2022). MSC: 91G10 91B16 PDF BibTeX XML Cite \textit{D. W. Jansen} and \textit{L. Liu}, Decis. Econ. Finance 45, No. 1, 187--207 (2022; Zbl 1492.91325) Full Text: DOI OpenURL
Escobar-Anel, Marcos; Davison, Matt; Zhu, Yichen Derivatives-based portfolio decisions: an expected utility insight. (English) Zbl 1492.91323 Ann. Finance 18, No. 2, 217-246 (2022). MSC: 91G10 91G20 91B16 PDF BibTeX XML Cite \textit{M. Escobar-Anel} et al., Ann. Finance 18, No. 2, 217--246 (2022; Zbl 1492.91323) Full Text: DOI arXiv OpenURL
Bensoussan, Alain; Hoe, SingRu (Celine); Kim, Joohyun; Yan, Zhongfeng A risk extended version of Merton’s optimal consumption and portfolio selection. (English) Zbl 1493.91110 Oper. Res. 70, No. 2, 815-829 (2022). MSC: 91G10 PDF BibTeX XML Cite \textit{A. Bensoussan} et al., Oper. Res. 70, No. 2, 815--829 (2022; Zbl 1493.91110) Full Text: DOI OpenURL
Wang, Gu Performance fees with stochastic benchmark. (English) Zbl 1491.91124 SIAM J. Financ. Math. 13, No. 2, 619-652 (2022). MSC: 91G10 PDF BibTeX XML Cite \textit{G. Wang}, SIAM J. Financ. Math. 13, No. 2, 619--652 (2022; Zbl 1491.91124) Full Text: DOI OpenURL
Escobar-Anel, Marcos; Ferrando, Sebastian; Gschnaidtner, Christoph; Rubtsov, Alexey International portfolio choice under multi-factor stochastic volatility. (English) Zbl 1491.91117 Quant. Finance 22, No. 6, 1193-1216 (2022). MSC: 91G10 PDF BibTeX XML Cite \textit{M. Escobar-Anel} et al., Quant. Finance 22, No. 6, 1193--1216 (2022; Zbl 1491.91117) Full Text: DOI OpenURL
Birge, John R.; Blomvall, Jörgen; Ekblom, Jonas The value and cost of more stages in stochastic programming: a statistical analysis on a set of portfolio choice problems. (English) Zbl 1484.91415 Quant. Finance 22, No. 1, 95-112 (2022). MSC: 91G10 90C15 PDF BibTeX XML Cite \textit{J. R. Birge} et al., Quant. Finance 22, No. 1, 95--112 (2022; Zbl 1484.91415) Full Text: DOI OpenURL
Feng, Felix Zhiyu; Lu, Will Jianyu; Zhu, Caroline H. Financial integration, savings gluts, and asset price booms. (English) Zbl 07658968 B. E. J. Theor. Econ. 21, No. 1, 205-238 (2021). MSC: 91G30 91G10 PDF BibTeX XML Cite \textit{F. Z. Feng} et al., B. E. J. Theor. Econ. 21, No. 1, 205--238 (2021; Zbl 07658968) Full Text: DOI OpenURL
Chen, Junhe; Escobar-Anel, Marcos Model uncertainty on commodity portfolios, the role of convenience yield. (English) Zbl 1477.91047 Ann. Finance 17, No. 4, 501-528 (2021). MSC: 91G10 93E20 PDF BibTeX XML Cite \textit{J. Chen} and \textit{M. Escobar-Anel}, Ann. Finance 17, No. 4, 501--528 (2021; Zbl 1477.91047) Full Text: DOI OpenURL
Dieci, Roberto; He, Xue-Zhong Cross-section instability in financial markets: impatience, extrapolation, and switching. (English) Zbl 1480.91275 Decis. Econ. Finance 44, No. 2, 727-754 (2021). MSC: 91G15 91G10 PDF BibTeX XML Cite \textit{R. Dieci} and \textit{X.-Z. He}, Decis. Econ. Finance 44, No. 2, 727--754 (2021; Zbl 1480.91275) Full Text: DOI OpenURL
Lin, Qian; Riedel, Frank Optimal consumption and portfolio choice with ambiguous interest rates and volatility. (English) Zbl 1484.91434 Econ. Theory 71, No. 3, 1189-1202 (2021). Reviewer: Paweł Kliber (Poznan) MSC: 91G10 91G30 49L12 60H30 PDF BibTeX XML Cite \textit{Q. Lin} and \textit{F. Riedel}, Econ. Theory 71, No. 3, 1189--1202 (2021; Zbl 1484.91434) Full Text: DOI OpenURL
He, Xue Dong; Jiang, Zhaoli Optimal payoff under the generalized dual theory of choice. (English) Zbl 07443029 Oper. Res. Lett. 49, No. 3, 372-376 (2021). MSC: 91-XX 90-XX PDF BibTeX XML Cite \textit{X. D. He} and \textit{Z. Jiang}, Oper. Res. Lett. 49, No. 3, 372--376 (2021; Zbl 07443029) Full Text: DOI arXiv OpenURL
Xu, Jing Lose oneself in comparison: an investment and consumption game between two agents. (English) Zbl 07443026 Oper. Res. Lett. 49, No. 3, 350-356 (2021). MSC: 91-XX 68-XX PDF BibTeX XML Cite \textit{J. Xu}, Oper. Res. Lett. 49, No. 3, 350--356 (2021; Zbl 07443026) Full Text: DOI OpenURL
Menoncin, Francesco; Vergalli, Sergio Optimal stopping time, consumption, labour, and portfolio decision for a pension scheme. (English) Zbl 1479.91337 J. Econ. 132, No. 1, 67-98 (2021). MSC: 91G05 91G10 60G40 91B39 PDF BibTeX XML Cite \textit{F. Menoncin} and \textit{S. Vergalli}, J. Econ. 132, No. 1, 67--98 (2021; Zbl 1479.91337) Full Text: DOI OpenURL
Lin, Qian; Tian, Dejian Portfolio choices: comparative statics under both expected return and volatility uncertainty. (English) Zbl 1479.91360 Quant. Finance 21, No. 6, 1027-1035 (2021). MSC: 91G10 91B16 PDF BibTeX XML Cite \textit{Q. Lin} and \textit{D. Tian}, Quant. Finance 21, No. 6, 1027--1035 (2021; Zbl 1479.91360) Full Text: DOI OpenURL
Chen, Junhe; Davison, Matt; Escobar-Anel, M.; Zafari, Golara Robust portfolios with commodities and stochastic interest rates. (English) Zbl 1479.91355 Quant. Finance 21, No. 6, 991-1010 (2021). MSC: 91G10 91G30 PDF BibTeX XML Cite \textit{J. Chen} et al., Quant. Finance 21, No. 6, 991--1010 (2021; Zbl 1479.91355) Full Text: DOI OpenURL
Park, Kyunghyun; Lee, Hyoseob; Shin, Yong Hyun Effects of a government subsidy and labor flexibility on portfolio selection and retirement. (English) Zbl 1479.91362 Quant. Finance 21, No. 6, 967-989 (2021). MSC: 91G10 91B39 93E20 PDF BibTeX XML Cite \textit{K. Park} et al., Quant. Finance 21, No. 6, 967--989 (2021; Zbl 1479.91362) Full Text: DOI OpenURL
Junca, Mauricio; Serrano, Rafael Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics. (English) Zbl 1471.91542 Math. Financ. Econ. 15, No. 4, 775-809 (2021). MSC: 91G15 91G10 60G44 PDF BibTeX XML Cite \textit{M. Junca} and \textit{R. Serrano}, Math. Financ. Econ. 15, No. 4, 775--809 (2021; Zbl 1471.91542) Full Text: DOI OpenURL
Kim, Taejin Trust and trading volume. (English) Zbl 1471.91502 Econ. Lett. 207, Article ID 110003, 4 p. (2021). MSC: 91G10 PDF BibTeX XML Cite \textit{T. Kim}, Econ. Lett. 207, Article ID 110003, 4 p. (2021; Zbl 1471.91502) Full Text: DOI OpenURL
Gu, Ariel; Yoo, Hong Il Prospect theory and mutual fund flows. (English) Zbl 1460.91088 Econ. Lett. 201, Article ID 109776, 4 p. (2021). MSC: 91B16 91G10 PDF BibTeX XML Cite \textit{A. Gu} and \textit{H. I. Yoo}, Econ. Lett. 201, Article ID 109776, 4 p. (2021; Zbl 1460.91088) Full Text: DOI OpenURL
Wang, Pei; Li, Zhongfei; Sun, Jingyun Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity. (English) Zbl 1460.91242 Optimization 70, No. 1, 191-224 (2021). MSC: 91G05 91G10 PDF BibTeX XML Cite \textit{P. Wang} et al., Optimization 70, No. 1, 191--224 (2021; Zbl 1460.91242) Full Text: DOI OpenURL
Bagliano, Fabio C.; Fugazza, Carolina; Nicodano, Giovanna Life-cycle welfare losses from rules-of-thumb asset allocation. (English) Zbl 1457.91337 Econ. Lett. 198, Article ID 109655, 8 p. (2021). MSC: 91G10 91B39 91B42 PDF BibTeX XML Cite \textit{F. C. Bagliano} et al., Econ. Lett. 198, Article ID 109655, 8 p. (2021; Zbl 1457.91337) Full Text: DOI Link OpenURL
Wu, Huiling; Wang, Xiuguo; Liu, Yuanyuan; Zeng, Li Multi-period optimal investment choice post-retirement with inter-temporal restrictions in a defined contribution pension plan. (English) Zbl 1476.91160 J. Ind. Manag. Optim. 16, No. 6, 2857-2890 (2020). MSC: 91G10 91G80 90C90 PDF BibTeX XML Cite \textit{H. Wu} et al., J. Ind. Manag. Optim. 16, No. 6, 2857--2890 (2020; Zbl 1476.91160) Full Text: DOI OpenURL
Ding, Yuanyao; Lu, Zudi How’s the performance of the optimized portfolios by safety-first rules: theory with empirical comparisons. (English) Zbl 1476.91147 J. Ind. Manag. Optim. 16, No. 6, 2703-2721 (2020). MSC: 91G10 90C15 PDF BibTeX XML Cite \textit{Y. Ding} and \textit{Z. Lu}, J. Ind. Manag. Optim. 16, No. 6, 2703--2721 (2020; Zbl 1476.91147) Full Text: DOI OpenURL
Lioui, Abraham; Tarelli, Andrea Factor investing for the long run. (English) Zbl 07331288 J. Econ. Dyn. Control 117, Article ID 103960, 31 p. (2020). MSC: 91-XX PDF BibTeX XML Cite \textit{A. Lioui} and \textit{A. Tarelli}, J. Econ. Dyn. Control 117, Article ID 103960, 31 p. (2020; Zbl 07331288) Full Text: DOI OpenURL
Guasoni, Paolo; Huberman, Gur; Ren, Dan Shortfall aversion. (English) Zbl 07326771 Math. Finance 30, No. 3, 869-920 (2020). MSC: 91G10 91B16 PDF BibTeX XML Cite \textit{P. Guasoni} et al., Math. Finance 30, No. 3, 869--920 (2020; Zbl 07326771) Full Text: DOI OpenURL
Escobar-Anel, Marcos; Lichtenstern, Andreas; Zagst, Rudi Behavioral portfolio choice under hyperbolic absolute risk aversion. (English) Zbl 1460.91247 Int. J. Theor. Appl. Finance 23, No. 7, Article ID 2050045, 33 p. (2020). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G10 91B16 PDF BibTeX XML Cite \textit{M. Escobar-Anel} et al., Int. J. Theor. Appl. Finance 23, No. 7, Article ID 2050045, 33 p. (2020; Zbl 1460.91247) Full Text: DOI OpenURL
Lou, Youcheng Some properties of the optimal investment strategy in a behavioral portfolio choice model. (English) Zbl 1459.91178 Optim. Lett. 14, No. 7, 1731-1746 (2020). Reviewer: George Stoica (Saint John) MSC: 91G10 PDF BibTeX XML Cite \textit{Y. Lou}, Optim. Lett. 14, No. 7, 1731--1746 (2020; Zbl 1459.91178) Full Text: DOI OpenURL
Guasoni, Paolo; Mayerhofer, Eberhard Technical note: Options portfolio selection. (English) Zbl 1455.91235 Oper. Res. 68, No. 3, 733-740 (2020). MSC: 91G10 91G20 91G60 PDF BibTeX XML Cite \textit{P. Guasoni} and \textit{E. Mayerhofer}, Oper. Res. 68, No. 3, 733--740 (2020; Zbl 1455.91235) Full Text: DOI OpenURL
Cayé, Thomas; Herdegen, Martin; Muhle-Karbe, Johannes Trading with small nonlinear price impact. (English) Zbl 1447.91157 Ann. Appl. Probab. 30, No. 2, 706-746 (2020). MSC: 91G10 91G80 PDF BibTeX XML Cite \textit{T. Cayé} et al., Ann. Appl. Probab. 30, No. 2, 706--746 (2020; Zbl 1447.91157) Full Text: DOI Euclid OpenURL
Wang, Jianli; Liu, Liqun; Neilson, William S. The participation puzzle with reference-dependent expected utility preferences. (English) Zbl 1447.91165 Insur. Math. Econ. 93, 278-287 (2020). MSC: 91G10 91B16 91B08 PDF BibTeX XML Cite \textit{J. Wang} et al., Insur. Math. Econ. 93, 278--287 (2020; Zbl 1447.91165) Full Text: DOI OpenURL
De Donno, Marzia; Magnani, Marco; Menegatti, Mario Changes in multiplicative risks and optimal portfolio choice: new interpretations and results. (English) Zbl 1444.91197 Decis. Econ. Finance 43, No. 1, 251-267 (2020). MSC: 91G10 PDF BibTeX XML Cite \textit{M. De Donno} et al., Decis. Econ. Finance 43, No. 1, 251--267 (2020; Zbl 1444.91197) Full Text: DOI OpenURL
Rüschendorf, L.; Vanduffel, Steven On the construction of optimal payoffs. (English) Zbl 1444.91201 Decis. Econ. Finance 43, No. 1, 129-153 (2020). MSC: 91G10 91B24 91B16 PDF BibTeX XML Cite \textit{L. Rüschendorf} and \textit{S. Vanduffel}, Decis. Econ. Finance 43, No. 1, 129--153 (2020; Zbl 1444.91201) Full Text: DOI OpenURL
Yang, Liu; Tong, Xiaojiao; Xiong, Yao; Shen, Feifei A smoothing SAA algorithm for a portfolio choice model based on second-order stochastic dominance measures. (English) Zbl 1449.90273 J. Ind. Manag. Optim. 16, No. 3, 1171-1185 (2020). MSC: 90C15 90C05 90C30 91G10 PDF BibTeX XML Cite \textit{L. Yang} et al., J. Ind. Manag. Optim. 16, No. 3, 1171--1185 (2020; Zbl 1449.90273) Full Text: DOI OpenURL
Hafner, Christian M.; Linton, Oliver B.; Tang, Haihan Estimation of a multiplicative correlation structure in the large dimensional case. (English) Zbl 1456.62103 J. Econom. 217, No. 2, 431-470 (2020). MSC: 62H12 62F12 62P05 PDF BibTeX XML Cite \textit{C. M. Hafner} et al., J. Econom. 217, No. 2, 431--470 (2020; Zbl 1456.62103) Full Text: DOI arXiv OpenURL
Kraft, Holger; Meyer-Wehmann, André; Seifried, Frank Thomas Dynamic asset allocation with relative wealth concerns in incomplete markets. (English) Zbl 07202051 J. Econ. Dyn. Control 113, Article ID 103857, 20 p. (2020). MSC: 91-XX PDF BibTeX XML Cite \textit{H. Kraft} et al., J. Econ. Dyn. Control 113, Article ID 103857, 20 p. (2020; Zbl 07202051) Full Text: DOI OpenURL
Henry Chiu, W. Financial risk taking in the presence of correlated non-financial background risk. (English) Zbl 1437.91134 J. Math. Econ. 88, 167-179 (2020). MSC: 91B05 91G10 PDF BibTeX XML Cite \textit{W. Henry Chiu}, J. Math. Econ. 88, 167--179 (2020; Zbl 1437.91134) Full Text: DOI Link OpenURL
Guasoni, Paolo; Meireles-Rodrigues, Andrea Reference dependence and market participation. (English) Zbl 1434.91059 Math. Oper. Res. 45, No. 1, 129-156 (2020). MSC: 91G10 PDF BibTeX XML Cite \textit{P. Guasoni} and \textit{A. Meireles-Rodrigues}, Math. Oper. Res. 45, No. 1, 129--156 (2020; Zbl 1434.91059) Full Text: DOI Link OpenURL
Coqueret, Guillaume; Guida, Tony Training trees on tails with applications to portfolio choice. (English) Zbl 1436.62489 Ann. Oper. Res. 288, No. 1, 181-221 (2020). MSC: 62P05 62C25 62M20 91B84 PDF BibTeX XML Cite \textit{G. Coqueret} and \textit{T. Guida}, Ann. Oper. Res. 288, No. 1, 181--221 (2020; Zbl 1436.62489) Full Text: DOI OpenURL
van Bilsen, Servaas; Laeven, Roger J. A. Dynamic consumption and portfolio choice under prospect theory. (English) Zbl 1435.91174 Insur. Math. Econ. 91, 224-237 (2020). MSC: 91G10 91B16 91G05 PDF BibTeX XML Cite \textit{S. van Bilsen} and \textit{R. J. A. Laeven}, Insur. Math. Econ. 91, 224--237 (2020; Zbl 1435.91174) Full Text: DOI Link OpenURL
Hambel, Christoph Health shock risk, critical illness insurance, and housing services. (English) Zbl 1435.91152 Insur. Math. Econ. 91, 111-128 (2020). MSC: 91G05 PDF BibTeX XML Cite \textit{C. Hambel}, Insur. Math. Econ. 91, 111--128 (2020; Zbl 1435.91152) Full Text: DOI OpenURL
Eeckhoudt, Louis R.; Laeven, Roger J. A.; Schlesinger, Harris Risk apportionment: the dual story. (English) Zbl 1457.91341 J. Econ. Theory 185, Article ID 104971, 27 p. (2020). MSC: 91G10 PDF BibTeX XML Cite \textit{L. R. Eeckhoudt} et al., J. Econ. Theory 185, Article ID 104971, 27 p. (2020; Zbl 1457.91341) Full Text: DOI arXiv OpenURL
Walden, Johan Trading, profits, and volatility in a dynamic information network model. (English) Zbl 07613853 Rev. Econ. Stud. 86, No. 5, 2248-2283 (2019). MSC: 91G15 91G10 91G45 PDF BibTeX XML Cite \textit{J. Walden}, Rev. Econ. Stud. 86, No. 5, 2248--2283 (2019; Zbl 07613853) Full Text: DOI OpenURL
Zhao, Long; Chakrabarti, Deepayan; Muthuraman, Kumar Portfolio construction by mitigating error amplification: the bounded-noise portfolio. (English) Zbl 1455.91242 Oper. Res. 67, No. 4, 965-983 (2019). MSC: 91G10 62P05 PDF BibTeX XML Cite \textit{L. Zhao} et al., Oper. Res. 67, No. 4, 965--983 (2019; Zbl 1455.91242) Full Text: DOI OpenURL
Tischbirek, Andreas Long-term government debt and household portfolio composition. (English) Zbl 1447.91164 Quant. Econ. 10, No. 3, 1109-1151 (2019). MSC: 91G10 91B64 91B42 PDF BibTeX XML Cite \textit{A. Tischbirek}, Quant. Econ. 10, No. 3, 1109--1151 (2019; Zbl 1447.91164) Full Text: DOI OpenURL
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 arXiv OpenURL
Jiang, Jinglu; Mu, Congming; Peng, Juan; Yang, Jinqiang Real options maximizing survival probability under incomplete markets. (English) Zbl 1429.91342 Quant. Finance 19, No. 11, 1921-1931 (2019). MSC: 91G50 91G10 PDF BibTeX XML Cite \textit{J. Jiang} et al., Quant. Finance 19, No. 11, 1921--1931 (2019; Zbl 1429.91342) Full Text: DOI OpenURL
Bellalah, Mondher; Xu, Yaosheng; Zhang, Detao Intertemporal optimal portfolio choice based on labor income within shadow costs of incomplete information and short sales. (English) Zbl 1430.91081 Ann. Oper. Res. 281, No. 1-2, 397-422 (2019). MSC: 91G10 91B16 PDF BibTeX XML Cite \textit{M. Bellalah} et al., Ann. Oper. Res. 281, No. 1--2, 397--422 (2019; Zbl 1430.91081) Full Text: DOI OpenURL
Ekren, Ibrahim; Muhle-Karbe, Johannes Portfolio choice with small temporary and transient price impact. (English) Zbl 1432.91102 Math. Finance 29, No. 4, 1066-1115 (2019). Reviewer: Claudio Fontana (Paris) MSC: 91G10 PDF BibTeX XML Cite \textit{I. Ekren} and \textit{J. Muhle-Karbe}, Math. Finance 29, No. 4, 1066--1115 (2019; Zbl 1432.91102) Full Text: DOI arXiv OpenURL
Strub, Moris S.; Li, Duan; Cui, Xiangyu; Gao, Jianjun Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR. (English) Zbl 1425.91395 J. Econ. Dyn. Control 108, Article ID 103751, 21 p. (2019). MSC: 91G10 91G70 PDF BibTeX XML Cite \textit{M. S. Strub} et al., J. Econ. Dyn. Control 108, Article ID 103751, 21 p. (2019; Zbl 1425.91395) Full Text: DOI OpenURL
Escobar-Anel, Marcos; Moreno-Franco, Harold A. Dynamic portfolio strategies under a fully correlated jump-diffusion process. (English) Zbl 1426.91244 Ann. Finance 15, No. 3, 421-453 (2019). MSC: 91G10 60J75 PDF BibTeX XML Cite \textit{M. Escobar-Anel} and \textit{H. A. Moreno-Franco}, Ann. Finance 15, No. 3, 421--453 (2019; Zbl 1426.91244) Full Text: DOI OpenURL
Staveley-O’Carroll, James; Staveley-O’Carroll, Olena M. International risk sharing in overlapping generations models. (English) Zbl 1422.91506 Econ. Lett. 174, 157-160 (2019). MSC: 91B62 91G10 91B51 PDF BibTeX XML Cite \textit{J. Staveley-O'Carroll} and \textit{O. M. Staveley-O'Carroll}, Econ. Lett. 174, 157--160 (2019; Zbl 1422.91506) Full Text: DOI OpenURL
Yang, Zhou; Lv, Manni; Wei, Zhijian Optimal investment-consumption choice with portfolio constraint in ambiguity market. (Chinese. English summary) Zbl 1438.91137 J. South China Norm. Univ., Nat. Sci. Ed. 51, No. 1, 93-96 (2019). MSC: 91G10 91B42 PDF BibTeX XML Cite \textit{Z. Yang} et al., J. South China Norm. Univ., Nat. Sci. Ed. 51, No. 1, 93--96 (2019; Zbl 1438.91137) Full Text: DOI OpenURL
Martínez-Palacios, María Teresa V.; Hernández-Del-Valle, Adrián; Ortiz-Ramírez, Ambrosio On the pricing of Asian options with geometric average of American type with stochastic interest rate: a stochastic optimal control approach. (English) Zbl 1425.91406 J. Dyn. Games 6, No. 1, 53-64 (2019). MSC: 91G20 60G40 91G30 93E20 91G10 PDF BibTeX XML Cite \textit{M. T. V. Martínez-Palacios} et al., J. Dyn. Games 6, No. 1, 53--64 (2019; Zbl 1425.91406) Full Text: DOI OpenURL
Ñíguez, Trino-Manuel; Paya, Ivan; Peel, David; Perote, Javier Flexible distribution functions, higher-order preferences and optimal portfolio allocation. (English) Zbl 1420.91429 Quant. Finance 19, No. 4, 699-703 (2019). MSC: 91G10 PDF BibTeX XML Cite \textit{T.-M. Ñíguez} et al., Quant. Finance 19, No. 4, 699--703 (2019; Zbl 1420.91429) Full Text: DOI Link OpenURL
Ravanelli, Claudia; Svindland, Gregor Ambiguity sensitive preferences in Ellsberg frameworks. (English) Zbl 1422.91218 Econ. Theory 67, No. 1, 53-89 (2019). MSC: 91B08 91B16 91G10 91A90 PDF BibTeX XML Cite \textit{C. Ravanelli} and \textit{G. Svindland}, Econ. Theory 67, No. 1, 53--89 (2019; Zbl 1422.91218) Full Text: DOI OpenURL
Hautsch, Nikolaus; Voigt, Stefan Large-scale portfolio allocation under transaction costs and model uncertainty. (English) Zbl 1452.62769 J. Econom. 212, No. 1, 221-240 (2019). MSC: 62P05 91G10 PDF BibTeX XML Cite \textit{N. Hautsch} and \textit{S. Voigt}, J. Econom. 212, No. 1, 221--240 (2019; Zbl 1452.62769) Full Text: DOI arXiv Link OpenURL
Bismuth, Alexis; Guéant, Olivier; Pu, Jiang Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty. (English) Zbl 1422.91643 Math. Financ. Econ. 13, No. 4, 661-719 (2019). MSC: 91G10 90C39 93E20 PDF BibTeX XML Cite \textit{A. Bismuth} et al., Math. Financ. Econ. 13, No. 4, 661--719 (2019; Zbl 1422.91643) Full Text: DOI arXiv OpenURL
Bernard, Carole; Vanduffel, Steven; Ye, Jiang A new efficiency test for ranking investments: application to hedge fund performance. (English) Zbl 1418.91452 Econ. Lett. 181, 203-207 (2019). MSC: 91G10 62P05 PDF BibTeX XML Cite \textit{C. Bernard} et al., Econ. Lett. 181, 203--207 (2019; Zbl 1418.91452) Full Text: DOI OpenURL
Guasoni, Paolo; Tolomeo, Antonella; Wang, Gu Should commodity investors follow commodities’ prices? (English) Zbl 1417.91451 SIAM J. Financ. Math. 10, No. 2, 466-490 (2019). MSC: 91G10 PDF BibTeX XML Cite \textit{P. Guasoni} et al., SIAM J. Financ. Math. 10, No. 2, 466--490 (2019; Zbl 1417.91451) Full Text: DOI OpenURL
Whitmeyer, Mark Relative performance concerns among investment managers. (English) Zbl 1417.91485 Ann. Finance 15, No. 2, 205-231 (2019). MSC: 91G10 91A06 91B16 PDF BibTeX XML Cite \textit{M. Whitmeyer}, Ann. Finance 15, No. 2, 205--231 (2019; Zbl 1417.91485) Full Text: DOI OpenURL
Ma, Guiyuan; Siu, Chi Chung; Zhu, Song-Ping Dynamic portfolio choice with return predictability and transaction costs. (English) Zbl 1431.91366 Eur. J. Oper. Res. 278, No. 3, 976-988 (2019). MSC: 91G10 93E20 91G70 PDF BibTeX XML Cite \textit{G. Ma} et al., Eur. J. Oper. Res. 278, No. 3, 976--988 (2019; Zbl 1431.91366) Full Text: DOI Link OpenURL
Hobson, David; Tse, Alex S. L.; Zhu, Yeqi A multi-asset investment and consumption problem with transaction costs. (English) Zbl 1484.91423 Finance Stoch. 23, No. 3, 641-676 (2019). MSC: 91G10 93E20 PDF BibTeX XML Cite \textit{D. Hobson} et al., Finance Stoch. 23, No. 3, 641--676 (2019; Zbl 1484.91423) Full Text: DOI arXiv OpenURL
Back, Kerry; Liu, Ruomeng; Teguia, Alberto Increasing risk aversion and life-cycle investing. (English) Zbl 1410.91408 Math. Financ. Econ. 13, No. 2, 287-302 (2019). MSC: 91G10 91B16 PDF BibTeX XML Cite \textit{K. Back} et al., Math. Financ. Econ. 13, No. 2, 287--302 (2019; Zbl 1410.91408) Full Text: DOI OpenURL
Lee, Ho-Seok; Shim, Gyoocheol; Shin, Yong Hyun Borrowing constraints, effective flexibility in labor supply, and portfolio selection. (English) Zbl 1410.91318 Math. Financ. Econ. 13, No. 2, 173-208 (2019). MSC: 91B40 91G10 PDF BibTeX XML Cite \textit{H.-S. Lee} et al., Math. Financ. Econ. 13, No. 2, 173--208 (2019; Zbl 1410.91318) Full Text: DOI OpenURL
Igarashi, Toru An analytic market condition for mutual fund separation: demand for the non-sharpe ratio maximizing portfolio. (English) Zbl 1414.91341 Asia-Pac. Financ. Mark. 26, No. 2, 169-185 (2019). MSC: 91G10 PDF BibTeX XML Cite \textit{T. Igarashi}, Asia-Pac. Financ. Mark. 26, No. 2, 169--185 (2019; Zbl 1414.91341) Full Text: DOI OpenURL
Guasoni, Paolo; Liu, Ren; Muhle-Karbe, Johannes Who should sell stocks? (English) Zbl 1411.91502 Math. Finance 29, No. 2, 448-482 (2019). MSC: 91G10 PDF BibTeX XML Cite \textit{P. Guasoni} et al., Math. Finance 29, No. 2, 448--482 (2019; Zbl 1411.91502) Full Text: DOI OpenURL
Guasoni, Paolo; Wang, Gu Consumption and investment with interest rate risk. (English) Zbl 1411.91504 J. Math. Anal. Appl. 476, No. 1, 215-239 (2019). MSC: 91G10 91G30 PDF BibTeX XML Cite \textit{P. Guasoni} and \textit{G. Wang}, J. Math. Anal. Appl. 476, No. 1, 215--239 (2019; Zbl 1411.91504) Full Text: DOI OpenURL
Guasoni, Paolo; Mayerhofer, Eberhard The limits of leverage. (English) Zbl 1411.91503 Math. Finance 29, No. 1, 249-284 (2019). MSC: 91G10 PDF BibTeX XML Cite \textit{P. Guasoni} and \textit{E. Mayerhofer}, Math. Finance 29, No. 1, 249--284 (2019; Zbl 1411.91503) Full Text: DOI arXiv OpenURL
Evren, Özgür Recursive non-expected utility: connecting ambiguity attitudes to risk preferences and the level of ambiguity. (English) Zbl 1419.91289 Games Econ. Behav. 114, 285-307 (2019). MSC: 91B16 91B06 91G10 PDF BibTeX XML Cite \textit{Ö. Evren}, Games Econ. Behav. 114, 285--307 (2019; Zbl 1419.91289) Full Text: DOI OpenURL
Kraft, Holger; Weiss, Farina Consumption-portfolio choice with preferences for cash. (English) Zbl 1411.91367 J. Econ. Dyn. Control 98, 40-59 (2019). MSC: 91B42 91G10 91B08 93E20 91B16 PDF BibTeX XML Cite \textit{H. Kraft} and \textit{F. Weiss}, J. Econ. Dyn. Control 98, 40--59 (2019; Zbl 1411.91367) Full Text: DOI Link OpenURL
Hur, Seok-Kyun; Chung, Chune Young The distribution of betas in presence of nontraded assets. (English) Zbl 1411.91509 Bull. Econ. Res. 71, No. 1, 90-112 (2019). MSC: 91G10 PDF BibTeX XML Cite \textit{S.-K. Hur} and \textit{C. Y. Chung}, Bull. Econ. Res. 71, No. 1, 90--112 (2019; Zbl 1411.91509) Full Text: DOI OpenURL
Bernard, Carole; Vanduffel, Steven; Ye, Jiang Optimal strategies under omega ratio. (English) Zbl 1431.91353 Eur. J. Oper. Res. 275, No. 2, 755-767 (2019). MSC: 91G10 90C15 90C90 PDF BibTeX XML Cite \textit{C. Bernard} et al., Eur. J. Oper. Res. 275, No. 2, 755--767 (2019; Zbl 1431.91353) Full Text: DOI OpenURL
Lioui, Abraham; Tarelli, Andrea Macroeconomic environment, money demand and portfolio choice. (English) Zbl 1431.91365 Eur. J. Oper. Res. 274, No. 1, 357-374 (2019). MSC: 91G10 91B64 93E20 91G30 PDF BibTeX XML Cite \textit{A. Lioui} and \textit{A. Tarelli}, Eur. J. Oper. Res. 274, No. 1, 357--374 (2019; Zbl 1431.91365) Full Text: DOI OpenURL
Choi, Sangyup The impact of US financial uncertainty shocks on emerging market economies: an international credit channel. (English) Zbl 1412.91219 Open Econ. Rev. 29, No. 1, 89-118 (2018). MSC: 91G10 91G70 PDF BibTeX XML Cite \textit{S. Choi}, Open Econ. Rev. 29, No. 1, 89--118 (2018; Zbl 1412.91219) Full Text: DOI OpenURL
Pagel, Michaela A news-utility theory for inattention and delegation in portfolio choice. (English) Zbl 1419.91591 Econometrica 86, No. 2, 491-522 (2018). MSC: 91G10 91B16 PDF BibTeX XML Cite \textit{M. Pagel}, Econometrica 86, No. 2, 491--522 (2018; Zbl 1419.91591) Full Text: DOI OpenURL
Isaenko, Sergey Optimal mean-reversion strategy in the presence of bid-ask spread and delays in capital allocations. (English) Zbl 1406.91413 Quant. Finance 18, No. 12, 2051-2065 (2018). MSC: 91G10 PDF BibTeX XML Cite \textit{S. Isaenko}, Quant. Finance 18, No. 12, 2051--2065 (2018; Zbl 1406.91413) Full Text: DOI OpenURL
Longo, M.; Mainini, A. Welfare effects of information and rationality in portfolio decisions under parameter uncertainty. (English) Zbl 1406.91418 Quant. Finance 18, No. 12, 2035-2050 (2018). MSC: 91G10 PDF BibTeX XML Cite \textit{M. Longo} and \textit{A. Mainini}, Quant. Finance 18, No. 12, 2035--2050 (2018; Zbl 1406.91418) Full Text: DOI arXiv OpenURL
Fagereng, Andreas; Guiso, Luigi; Pistaferri, Luigi Portfolio choices, firm shocks, and uninsurable wage risk. (English) Zbl 1405.91550 Rev. Econ. Stud. 85, No. 1, 437-474 (2018). MSC: 91G10 91B30 62P20 PDF BibTeX XML Cite \textit{A. Fagereng} et al., Rev. Econ. Stud. 85, No. 1, 437--474 (2018; Zbl 1405.91550) Full Text: DOI OpenURL
Yang, Guang; Liu, Xinwang; Qin, Jindong; Khan, Ahmed An analytical approach for behavioral portfolio model with time discounting preference. (English) Zbl 1419.91597 RAIRO, Oper. Res. 52, No. 3, 691-712 (2018). MSC: 91G10 91B16 PDF BibTeX XML Cite \textit{G. Yang} et al., RAIRO, Oper. Res. 52, No. 3, 691--712 (2018; Zbl 1419.91597) Full Text: DOI OpenURL
Guasoni, Paolo; Weber, Marko H. Rebalancing multiple assets with mutual price impact. (English) Zbl 1418.91473 J. Optim. Theory Appl. 179, No. 2, 618-653 (2018). MSC: 91G10 91G80 93E20 60J60 PDF BibTeX XML Cite \textit{P. Guasoni} and \textit{M. H. Weber}, J. Optim. Theory Appl. 179, No. 2, 618--653 (2018; Zbl 1418.91473) Full Text: DOI OpenURL
Suen, Richard M. H. Standard risk aversion and efficient risk sharing. (English) Zbl 1402.91734 Econ. Lett. 173, 23-26 (2018). MSC: 91G10 91B06 PDF BibTeX XML Cite \textit{R. M. H. Suen}, Econ. Lett. 173, 23--26 (2018; Zbl 1402.91734) Full Text: DOI Link OpenURL
Bergen, V.; Escobar, M.; Rubtsov, A.; Zagst, R. Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity. (English) Zbl 1400.91529 Quant. Finance 18, No. 8, 1265-1294 (2018). MSC: 91G10 62H05 62P05 PDF BibTeX XML Cite \textit{V. Bergen} et al., Quant. Finance 18, No. 8, 1265--1294 (2018; Zbl 1400.91529) Full Text: DOI OpenURL
Burghart, Daniel R. Maximum probabilities, information, and choice under uncertainty. (English) Zbl 1397.91129 Econ. Lett. 167, 43-47 (2018). MSC: 91B06 91A90 91B16 PDF BibTeX XML Cite \textit{D. R. Burghart}, Econ. Lett. 167, 43--47 (2018; Zbl 1397.91129) Full Text: DOI OpenURL
Zeng, Yan; Li, Danping; Chen, Zheng; Yang, Zhou Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility. (English) Zbl 1401.91212 J. Econ. Dyn. Control 88, 70-103 (2018). MSC: 91B30 91G10 PDF BibTeX XML Cite \textit{Y. Zeng} et al., J. Econ. Dyn. Control 88, 70--103 (2018; Zbl 1401.91212) Full Text: DOI Link OpenURL
Escobar, Marcos; Ferrando, Sebastian; Rubtsov, Alexey Dynamic derivative strategies with stochastic interest rates and model uncertainty. (English) Zbl 1401.91516 J. Econ. Dyn. Control 86, 49-71 (2018). MSC: 91G10 91G20 91G30 91G70 PDF BibTeX XML Cite \textit{M. Escobar} et al., J. Econ. Dyn. Control 86, 49--71 (2018; Zbl 1401.91516) Full Text: DOI OpenURL
Bernard, Carole; Vanduffel, Steven; Ye, Jiang Optimal portfolio under state-dependent expected utility. (English) Zbl 1398.91504 Int. J. Theor. Appl. Finance 21, No. 3, Article ID 1850013, 22 p. (2018). MSC: 91G10 91B16 PDF BibTeX XML Cite \textit{C. Bernard} et al., Int. J. Theor. Appl. Finance 21, No. 3, Article ID 1850013, 22 p. (2018; Zbl 1398.91504) Full Text: DOI OpenURL
Koch-Medina, Pablo; Wenzelburger, Jan Equilibria in the CAPM with non-tradeable endowments. (English) Zbl 1388.91146 J. Math. Econ. 75, 93-107 (2018). MSC: 91G99 91B50 91B25 91G10 PDF BibTeX XML Cite \textit{P. Koch-Medina} and \textit{J. Wenzelburger}, J. Math. Econ. 75, 93--107 (2018; Zbl 1388.91146) Full Text: DOI OpenURL
Bichuch, Maxim; Guasoni, Paolo Investing with liquid and illiquid assets. (English) Zbl 1403.91306 Math. Finance 28, No. 1, 119-152 (2018). MSC: 91G10 60H10 PDF BibTeX XML Cite \textit{M. Bichuch} and \textit{P. Guasoni}, Math. Finance 28, No. 1, 119--152 (2018; Zbl 1403.91306) Full Text: DOI OpenURL
Nielsen, Carsten Krabbe Rational overconfidence and social security: subjective beliefs, objective welfare. (English) Zbl 1400.91250 Econ. Theory 65, No. 2, 179-229 (2018). MSC: 91B30 91B15 PDF BibTeX XML Cite \textit{C. K. Nielsen}, Econ. Theory 65, No. 2, 179--229 (2018; Zbl 1400.91250) Full Text: DOI OpenURL