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Found 19 Documents (Results 1–19)

Time-inconsistent portfolio investment problems. (English) Zbl 1390.91280

Crisan, Dan (ed.) et al., Stochastic analysis and applications 2014. In honour of Terry Lyons. Selected articles based on the presentations at the conference, Oxford, UK, September 23–27, 2013. Cham: Springer (ISBN 978-3-319-11291-6/hbk; 978-3-319-11292-3/ebook). Springer Proceedings in Mathematics & Statistics 100, 239-281 (2014).
MSC:  91G10 60H15 93E20
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A framework for dynamic hedging under convex risk measures. (English) Zbl 1246.91120

Dalang, Robert C. (ed.) et al., Seminar on stochastic analysis, random fields and applications VI. Centro Stefano Franscini, Ascona, Italy, May 19–23, 2008. Basel: Birkhäuser (ISBN 978-3-0348-0020-4/pbk; 978-3-0348-0021-1/ebook). Progress in Probability 63, 429-451 (2011).
MSC:  91G10 91G20
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Portfolio optimization. (English) Zbl 1185.91162

Carmona, René (ed.) et al., Indifference pricing: Theory and applications. Princeton, NJ: Princeton University Press (ISBN 978-0-691-13883-1/hbk). Princeton Series in Financial Engineering, 183-210 (2009).
MSC:  91G10 91G80
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Optimal investment problems and volatility homogenization approximations. (English) Zbl 1104.91302

Bourlioux, Anne (ed.) et al., Modern methods in scientific computing and applications. Proceedings of the NATO Advanced Study Institute and Séminaire de Mathématiques Supérieures on modern methods in scientific computing and applications, Montréal, Québec, Canada, July 9–20, 2001. Dordrecht: Kluwer Academic Publishers (ISBN 1-4020-0782-5/pbk). NATO Sci. Ser. II, Math. Phys. Chem. 75, 255-281 (2002).
MSC:  91G10 93E20
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