Investment and consumption without commitment. Zbl 1177.91123
Ekeland, Ivar; Pirvu, Traian A. |
|
2008
|
Control of McKean-Vlasov dynamics versus mean field games. Zbl 1269.91012
Carmona, René; Delarue, François; Lachapelle, Aimé |
|
2013
|
Mean field game of controls and an application to trade crowding. Zbl 1397.91084
Cardaliaguet, Pierre; Lehalle, Charles-Albert |
|
2018
|
The golden rule when preferences are time inconsistent. Zbl 1255.91249
Ekeland, Ivar; Lazrak, Ali |
|
2010
|
Set-valued risk measures for conical market models. Zbl 1275.91077
Hamel, Andreas H.; Heyde, Frank; Rudloff, Birgit |
|
2011
|
Incorporating order-flow into optimal execution. Zbl 1404.91241
Cartea, Álvaro; Jaimungal, Sebastian |
|
2016
|
Representation results for law invariant time consistent functions. Zbl 1255.91181
Kupper, Michael; Schachermayer, Walter |
|
2009
|
Valuing the option to invest in an incomplete market. Zbl 1268.91167
Henderson, Vicky |
|
2007
|
A financial market with interacting investors: does an equilibrium exist? Zbl 1255.91447
Frei, Christoph; dos Reis, Gonçalo |
|
2011
|
Static portfolio choice under cumulative prospect theory. Zbl 1255.91389
Bernard, Carole; Ghossoub, Mario |
|
2010
|
Dealing with the inventory risk: a solution to the market making problem. Zbl 1273.91462
Guéant, Olivier; Lehalle, Charles-Albert; Fernandez-Tapia, Joaquin |
|
2013
|
Hedging with temporary price impact. Zbl 1409.91226
Bank, Peter; Soner, H. Mete; Voß, Moritz |
|
2017
|
The robust Merton problem of an ambiguity averse investor. Zbl 1404.91240
Biagini, Sara; Pınar, Mustafa Ç. |
|
2017
|
Optimal mean-variance portfolio selection. Zbl 1390.91285
Pedersen, Jesper Lund; Peskir, Goran |
|
2017
|
Set-valued average value at risk and its computation. Zbl 1269.91071
Hamel, Andreas H.; Rudloff, Birgit; Yankova, Mihaela |
|
2013
|
Utility maximization with a given pricing measure when the utility is not necessarily concave. Zbl 1277.91055
Reichlin, Christian |
|
2013
|
Measuring risk with multiple eligible assets. Zbl 1310.91077
Farkas, Walter; Koch-Medina, Pablo; Munari, Cosimo |
|
2015
|
Dual characterization of properties of risk measures on Orlicz hearts. Zbl 1181.91092
Cheridito, Patrick; Li, Tianhui |
|
2008
|
Optimal risk sharing under distorted probabilities. Zbl 1255.91182
Ludkovski, Michael; Young, Virginia R. |
|
2009
|
Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis. Zbl 1404.91245
Lachapelle, Aimé; Lasry, Jean-Michel; Lehalle, Charles-Albert; Lions, Pierre-Louis |
|
2016
|
Optimal stopping under ambiguity in continuous time. Zbl 1272.60020
Cheng, Xue; Riedel, Frank |
|
2013
|
The geometry of relative arbitrage. Zbl 1404.91249
Pal, Soumik; Wong, Ting-Kam Leonard |
|
2016
|
Continuity properties of law-invariant (quasi-)convex risk functions on \(L^{\infty}\). Zbl 1255.91186
Svindland, Gregor |
|
2010
|
A multiple-curve HJM model of interbank risk. Zbl 1264.91131
Crépey, Stéphane; Grbac, Zorana; Nguyen, Hai-Nam |
|
2012
|
Optimal mean-variance selling strategies. Zbl 1334.60066
Pedersen, J. L.; Peskir, G. |
|
2016
|
Many-player games of optimal consumption and investment under relative performance criteria. Zbl 1437.91057
Lacker, Daniel; Soret, Agathe |
|
2020
|
Recursiveness of indifference prices and translation-invariant preferences. Zbl 1255.91397
Cheridito, Patrick; Kupper, Michael |
|
2009
|
Convex compactness and its applications. Zbl 1255.46038
Žitković, Gordan |
|
2010
|
Lebesgue property for convex risk measures on Orlicz spaces. Zbl 1258.91108
Orihuela, J.; Ruiz Galán, M. |
|
2012
|
The opportunity process for optimal consumption and investment with power utility. Zbl 1255.91452
Nutz, Marcel |
|
2010
|
Oligopoly games under asymmetric costs and an application to energy production. Zbl 1260.91107
Ledvina, Andrew; Sircar, Ronnie |
|
2012
|
Dual representation of superhedging costs in illiquid markets. Zbl 1275.91063
Pennanen, Teemu |
|
2011
|
Bid and ask prices as non-linear continuous time G-expectations based on distortions. Zbl 1307.91086
Eberlein, Ernst; Madan, Dilip B.; Pistorius, Martijn; Yor, Marc |
|
2014
|
Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures. Zbl 1320.91087
Mastrogiacomo, Elisa; Gianin, Emanuela Rosazza |
|
2015
|
Asymptotic arbitrage and large deviations. Zbl 1153.91015
Föllmer, H.; Schachermayer, W. |
|
2008
|
A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean. Zbl 1460.91269
He, Xin-Jiang; Chen, Wenting |
|
2021
|
Optimal investment with inside information and parameter uncertainty. Zbl 1255.91446
Danilova, Albina; Monoyios, Michael; Ng, Andrew |
|
2010
|
Multi-stock portfolio optimization under prospect theory. Zbl 1260.91231
Pirvu, Traian A.; Schulze, Klaas |
|
2012
|
An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit. Zbl 1404.91256
Feng, Runhuan; Volkmer, Hans W. |
|
2016
|
Robust return risk measures. Zbl 1404.91134
Bellini, Fabio; Laeven, Roger J. A.; Rosazza Gianin, Emanuela |
|
2018
|
Structured products equilibria in conic two price markets. Zbl 1264.91148
Madan, Dilip B.; Schoutens, Wim |
|
2012
|
Optimal portfolios of a small investor in a limit order market: a shadow price approach. Zbl 1255.91449
Kühn, Christoph; Stroh, Maximilian |
|
2010
|
Conic coconuts: the pricing of contingent capital notes using conic finance. Zbl 1255.91450
Madan, Dilip B.; Schoutens, Wim |
|
2011
|
Optimal posting price of limit orders: learning by trading. Zbl 1306.91148
Laruelle, Sophie; Lehalle, Charles-Albert; Pagès, Gilles |
|
2013
|
Dual representations for systemic risk measures. Zbl 1433.91187
Ararat, Çağın; Rudloff, Birgit |
|
2020
|
Acceptability indexes via \(g\)-expectations: an application to liquidity risk. Zbl 1273.91464
Rosazza Gianin, Emanuela; Sgarra, Carlo |
|
2013
|
Optimal derivatives design for mean-variance agents under adverse selection. Zbl 1173.91379
Carlier, Guillaume; Ekeland, Ivar; Touzi, Nizar |
|
2007
|
Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs. Zbl 1417.91488
Yang, Zhou; Liang, Gechun; Zhou, Chao |
|
2019
|
Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty. Zbl 1422.91643
Bismuth, Alexis; Guéant, Olivier; Pu, Jiang |
|
2019
|
On securitization, market completion and equilibrium risk transfer. Zbl 1255.91401
Horst, Ulrich; Pirvu, Traian A.; dos Reis, Gonçalo |
|
2010
|
Convex risk measures on Orlicz spaces: inf-convolution and shortfall. Zbl 1255.91173
Arai, Takuji |
|
2010
|
Robust consumption-investment problems with random market coefficients. Zbl 1279.91149
Rieder, Ulrich; Wopperer, Christoph |
|
2012
|
Optimal investment in a defaultable bond. Zbl 1142.91537
Lakner, Peter; Liang, Weijian |
|
2008
|
A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process. Zbl 1471.91560
Bernis, Guillaume; Brignone, Riccardo; Scotti, Simone; Sgarra, Carlo |
|
2021
|
Optimal compensation with adverse selection and dynamic actions. Zbl 1173.91383
Cvitanić, Jakša; Zhang, Jianfeng |
|
2007
|
Optimal investment in markets with over and under-reaction to information. Zbl 1415.91256
Callegaro, Giorgia; Gaïgi, M’hamed; Scotti, Simone; Sgarra, Carlo |
|
2017
|
The super-replication theorem under proportional transaction costs revisited. Zbl 1309.91136
Schachermayer, Walter |
|
2014
|
Evolutionary finance and dynamic games. Zbl 1275.91027
Amir, Rabah; Evstigneev, Igor V.; Hens, Thorsten; Xu, Le |
|
2011
|
An optimal trading problem in intraday electricity markets. Zbl 1332.35363
Aïd, René; Gruet, Pierre; Pham, Huyên |
|
2016
|
Existence of a Radner equilibrium in a model with transaction costs. Zbl 1396.91706
Weston, Kim |
|
2018
|
Fractional risk process in insurance. Zbl 1435.91156
Kumar, Arun; Leonenko, Nikolai; Pichler, Alois |
|
2020
|
Optimal retirement and portfolio selection with consumption ratcheting. Zbl 1443.91261
Jeon, Junkee; Park, Kyunghyun |
|
2020
|
Time consistency for set-valued dynamic risk measures for bounded discrete-time processes. Zbl 1397.91595
Chen, Yanhong; Hu, Yijun |
|
2018
|
Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option. Zbl 1410.91465
SenGupta, Indranil; Wilson, William; Nganje, William |
|
2019
|
Shock elasticities and impulse responses. Zbl 1307.91124
Borovička, Jaroslav; Hansen, Lars Peter; Scheinkman, José A. |
|
2014
|
Electricity price modeling and asset valuation: a multi-fuel structural approach. Zbl 1269.91037
Carmona, René; Coulon, Michael; Schwarz, Daniel |
|
2013
|
Optimal incentive contracts under relative income concerns. Zbl 1255.91205
Goukasian, Levon; Wan, Xuhu |
|
2010
|
Taylor series approximations to expected utility and optimal portfolio choice. Zbl 1282.91301
Garlappi, Lorenzo; Skoulakis, Georgios |
|
2011
|
Insider trading equilibrium in a market with memory. Zbl 1262.91156
Biagini, Francesca; Hu, Yaozhong; Meyer-Brandis, Thilo; Øksendal, Bernt |
|
2012
|
Exchanges and measures of risks. Zbl 1275.91059
Flåm, Sjur Didrik |
|
2011
|
Continuity of utility maximization under weak convergence. Zbl 1461.91288
Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia |
|
2020
|
On the existence of competitive equilibrium in frictionless and incomplete stochastic asset markets. Zbl 1411.91643
Jarrow, Robert |
|
2017
|
Remarks on existence and uniqueness of Cournot-Nash equilibria in the non-potential case. Zbl 1318.91024
Blanchet, A.; Carlier, G. |
|
2014
|
Quasiconvex risk statistics with scenario analysis. Zbl 1312.91060
Tian, Dejian; Jiang, Long |
|
2015
|
Optimal placement in a limit order book: an analytical approach. Zbl 1409.91234
Guo, Xin; de Larrard, Adrien; Ruan, Zhao |
|
2017
|
Pricing in an equilibrium based model for a large investor. Zbl 1255.91128
German, David |
|
2011
|
Curve following in illiquid markets. Zbl 1255.91451
Naujokat, Felix; Westray, Nicholas |
|
2011
|
Liquidity-adjusted risk measures. Zbl 1275.91145
Weber, S.; Anderson, W.; Hamm, A.-M.; Knispel, T.; Liese, M.; Salfeld, T. |
|
2013
|
The consumption-based determinants of the term structure of discount rates. Zbl 1138.91545
Gollier, Christian |
|
2007
|
Risk-minimization for life insurance liabilities with basis risk. Zbl 1404.91136
Biagini, Francesca; Rheinländer, Thorsten; Schreiber, Irene |
|
2016
|
Funding liquidity, debt tenor structure, and creditor’s belief: an exogenous dynamic debt run model. Zbl 1335.91096
Liang, Gechun; Lütkebohmert, Eva; Wei, Wei |
|
2015
|
Dual representations for systemic risk measures based on acceptance sets. Zbl 1461.91336
Arduca, Maria; Koch-Medina, Pablo; Munari, Cosimo |
|
2021
|
Equilibrium effects of intraday order-splitting benchmarks. Zbl 1461.91294
Choi, Jin Hyuk; Larsen, Kasper; Seppi, Duane J. |
|
2021
|
Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility. Zbl 1461.91286
Yan, Tingjin; Han, Bingyan; Pun, Chi Seng; Wong, Hoi Ying |
|
2020
|
An explicit analytic formula for pricing barrier options with regime switching. Zbl 1308.91158
Chan, Leunglung; Zhu, Song-Ping |
|
2015
|
Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework. Zbl 1422.91736
Benth, Fred Espen; Piccirilli, Marco; Vargiolu, Tiziano |
|
2019
|
An analytical study of norms and Banach spaces induced by the entropic value-at-risk. Zbl 1411.91632
Ahmadi-Javid, Amir; Pichler, Alois |
|
2017
|
Drawdown: from practice to theory and back again. Zbl 1415.91260
Goldberg, Lisa R.; Mahmoud, Ola |
|
2017
|
Radner equilibrium in incomplete Lévy models. Zbl 1390.91232
Larsen, Kasper; Sae-Sue, Tanawit |
|
2016
|
A forward-backward SDE approach to affine models. Zbl 1255.91437
Hyndman, Cody Blaine |
|
2009
|
An analysis of the Keen model for credit expansion, asset price bubbles and financial fragility. Zbl 1264.91133
Grasselli, M. R.; Costa Lima, B. |
|
2012
|
Local stability analysis of a stochastic evolutionary financial market model with a risk-free asset. Zbl 1275.91058
Evstigneev, Igor V.; Hens, Thorsten; Schenk-Hoppé, Klaus Reiner |
|
2011
|
Positive alphas and a generalized multiple-factor asset pricing model. Zbl 1404.91113
Jarrow, Robert; Protter, Philip |
|
2016
|
Sensitivity analysis for marked Hawkes processes: application to CLO pricing. Zbl 1396.91785
Bernis, Guillaume; Salhi, Kaouther; Scotti, Simone |
|
2018
|
Foreign exchange markets with last look. Zbl 1411.91488
Cartea, Álvaro; Jaimungal, Sebastian; Walton, Jamie |
|
2019
|
Certainty equivalent and utility indifference pricing for incomplete preferences via convex vector optimization. Zbl 1461.91128
Rudloff, Birgit; Ulus, Firdevs |
|
2021
|
Martingale problem under nonlinear expectations. Zbl 1391.60094
Guo, Xin; Pan, Chen; Peng, Shige |
|
2018
|
Sensitivity analysis for expected utility maximization in incomplete Brownian market models. Zbl 1397.91545
Backhoff Veraguas, Julio; Silva, Francisco J. |
|
2018
|
Borrowing constraints, effective flexibility in labor supply, and portfolio selection. Zbl 1410.91318
Lee, Ho-Seok; Shim, Gyoocheol; Shin, Yong Hyun |
|
2019
|
Dilatation monotonicity and convex order. Zbl 1318.46054
Svindland, Gregor |
|
2014
|
Modelling the industrial production of electric and gas utilities through the \(CIR^3\) model. Zbl 07903123
Ceci, Claudia; Bufalo, Michele; Orlando, Giuseppe |
|
2024
|
Mean field portfolio games with consumption. Zbl 1507.91200
Fu, Guanxing |
|
2023
|
Optimal collective investment: an analysis of individual welfare. Zbl 1506.91156
Branger, Nicole; Chen, An; Mahayni, Antje; Thai Nguyen |
|
2023
|
Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment. Zbl 1522.91268
Cheng, Panhong; Xu, Zhihong; Dai, Zexing |
|
2023
|
Dynamic Cournot-Nash equilibrium: the non-potential case. Zbl 1518.91013
Backhoff-Veraguas, Julio; Zhang, Xin |
|
2023
|
Non-concave portfolio optimization with average value-at-risk. Zbl 1520.91379
Zhang, Fangyuan |
|
2023
|
On intermediate marginals in martingale optimal transportation. Zbl 1530.91578
Sester, Julian |
|
2023
|
Robust utility maximization under model uncertainty via a penalization approach. Zbl 1484.91421
Guo, Ivan; Langrené, Nicolas; Loeper, Grégoire; Ning, Wei |
|
2022
|
Price formation and optimal trading in intraday electricity markets. Zbl 1484.91315
Féron, Olivier; Tankov, Peter; Tinsi, Laura |
|
2022
|
Term structure modeling under volatility uncertainty. Zbl 1484.91496
Hölzermann, Julian |
|
2022
|
A two-player portfolio tracking game. Zbl 1496.91080
Voß, Moritz |
|
2022
|
Price impact equilibrium with transaction costs and TWAP trading. Zbl 1484.91461
Noh, Eunjung; Weston, Kim |
|
2022
|
Law-invariant functionals that collapse to the mean: beyond convexity. Zbl 1497.91344
Liebrich, Felix-Benedikt; Munari, Cosimo |
|
2022
|
Learning about latent dynamic trading demand. Zbl 1498.91414
Chen, Xiao; Choi, Jin Hyuk; Larsen, Kasper; Seppi, Duane J. |
|
2022
|
Investment timing and capacity choice in duopolistic competition under a jump-diffusion model. Zbl 1484.91512
Wu, Xiaoqin; Hu, Zhijun |
|
2022
|
Optimal portfolios in the presence of stress scenarios a worst-case approach. Zbl 1484.91428
Korn, Ralf; Müller, Lukas |
|
2022
|
Governmental incentives for Green bonds investment. Zbl 1497.91270
Baldacci, Bastien; Possamaï, Dylan |
|
2022
|
A stochastic control approach to public debt management. Zbl 1498.91267
Brachetta, M.; Ceci, C. |
|
2022
|
Convergence rates of large-time sensitivities with the Hansen-Scheinkman decomposition. Zbl 1484.91487
Park, Hyungbin |
|
2022
|
Optimal control model of an enterprise for single and inheriting periods of carbon emission reduction. Zbl 1484.91318
Liang, Jin; Huang, Wenlin |
|
2022
|
Arbitrage-free Nelson-Siegel model for multiple yield curves. Zbl 1484.91493
Brignone, Riccardo; Gerhart, Christoph; Lütkebohmert, Eva |
|
2022
|
A dynamical model for real economy and finance. Zbl 1484.91452
Grassetti, F.; Mammana, C.; Michetti, E. |
|
2022
|
Robust utility maximizing strategies under model uncertainty and their convergence. Zbl 1484.91439
Sass, Jörn; Westphal, Dorothee |
|
2022
|
Semi-analytical solution for consumption and investment problem under quadratic security market model with inflation risk. Zbl 1497.91272
Batbold, Bolorsuvd; Kikuchi, Kentaro; Kusuda, Koji |
|
2022
|
A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean. Zbl 1460.91269
He, Xin-Jiang; Chen, Wenting |
|
2021
|
A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process. Zbl 1471.91560
Bernis, Guillaume; Brignone, Riccardo; Scotti, Simone; Sgarra, Carlo |
|
2021
|
Dual representations for systemic risk measures based on acceptance sets. Zbl 1461.91336
Arduca, Maria; Koch-Medina, Pablo; Munari, Cosimo |
|
2021
|
Equilibrium effects of intraday order-splitting benchmarks. Zbl 1461.91294
Choi, Jin Hyuk; Larsen, Kasper; Seppi, Duane J. |
|
2021
|
Certainty equivalent and utility indifference pricing for incomplete preferences via convex vector optimization. Zbl 1461.91128
Rudloff, Birgit; Ulus, Firdevs |
|
2021
|
An optimization model for minimizing systemic risk. Zbl 1461.91338
Castellano, Rosella; Cerqueti, Roy; Clemente, Gian Paolo; Grassi, Rosanna |
|
2021
|
Multiple yield curve modelling with CBI processes. Zbl 1471.91588
Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume |
|
2021
|
Risk management with expected shortfall. Zbl 1471.91518
Wei, Pengyu |
|
2021
|
Systemic credit freezes in financial lending networks. Zbl 1461.91334
Acemoglu, Daron; Ozdaglar, Asuman; Siderius, James; Tahbaz-Salehi, Alireza |
|
2021
|
Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model. Zbl 1467.91101
Mehrdoust, Farshid; Noorani, Idin |
|
2021
|
Systemic optimal risk transfer equilibrium. Zbl 1461.91337
Biagini, Francesca; Doldi, Alessandro; Fouque, Jean-Pierre; Frittelli, Marco; Meyer-Brandis, Thilo |
|
2021
|
Asymptotics for volatility derivatives in multi-factor rough volatility models. Zbl 1471.91573
Lacombe, Chloe; Muguruza, Aitor; Stone, Henry |
|
2021
|
Supermartingale deflators in the absence of a numéraire. Zbl 1471.91541
Harms, Philipp; Liu, Chong; Neufeld, Ariel |
|
2021
|
Asset price bubbles, market liquidity, and systemic risk. Zbl 1461.91328
Jarrow, Robert; Lamichhane, Sujan |
|
2021
|
Preferences over rich sets of random variables: on the incompatibility of convexity and semicontinuity in measure. Zbl 1461.91109
Zimper, Alexander; Assa, Hirbod |
|
2021
|
A financial market with singular drift and no arbitrage. Zbl 1465.91104
Agram, Nacira; Øksendal, Bernt |
|
2021
|
Optimal life-cycle consumption and investment decisions under age-dependent risk preferences. Zbl 1460.91229
Lichtenstern, Andreas; Shevchenko, Pavel V.; Zagst, Rudi |
|
2021
|
Preface to the special issue on systemic risk and financial networks. Zbl 07344559
|
|
2021
|
How safe are central counterparties in credit default swap markets? Zbl 1461.91331
Paddrik, Mark; Young, H. Peyton |
|
2021
|
Compound Poisson models for weighted networks with applications in finance. Zbl 1461.91340
Gandy, Axel; Veraart, Luitgard A. M. |
|
2021
|
Safety-first portfolio selection. Zbl 1468.91135
Chiu, Wan-Yi |
|
2021
|
Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics. Zbl 1471.91542
Junca, Mauricio; Serrano, Rafael |
|
2021
|
Many-player games of optimal consumption and investment under relative performance criteria. Zbl 1437.91057
Lacker, Daniel; Soret, Agathe |
|
2020
|
Dual representations for systemic risk measures. Zbl 1433.91187
Ararat, Çağın; Rudloff, Birgit |
|
2020
|
Fractional risk process in insurance. Zbl 1435.91156
Kumar, Arun; Leonenko, Nikolai; Pichler, Alois |
|
2020
|
Optimal retirement and portfolio selection with consumption ratcheting. Zbl 1443.91261
Jeon, Junkee; Park, Kyunghyun |
|
2020
|
Continuity of utility maximization under weak convergence. Zbl 1461.91288
Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia |
|
2020
|
Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility. Zbl 1461.91286
Yan, Tingjin; Han, Bingyan; Pun, Chi Seng; Wong, Hoi Ying |
|
2020
|
No arbitrage in continuous financial markets. Zbl 1443.91272
Criens, David |
|
2020
|
Capital allocation rules and acceptance sets. Zbl 1461.91364
Canna, Gabriele; Centrone, Francesca; Rosazza Gianin, Emanuela |
|
2020
|
A regime switching model for temperature modeling and applications to weather derivatives pricing. Zbl 1436.91111
Türkvatan, Aysun; Hayfavi, Azize; Omay, Tolga |
|
2020
|
Properly discounted asset prices are semimartingales. Zbl 1461.91323
Bálint, Dániel Ágoston; Schweizer, Martin |
|
2020
|
Mean-variance efficiency of optimal power and logarithmic utility portfolios. Zbl 1461.91269
Bodnar, Taras; Ivasiuk, Dmytro; Parolya, Nestor; Schmid, Wolfgang |
|
2020
|
A generalized stochastic differential utility driven by \(G\)-Brownian motion. Zbl 1443.91155
Lin, Qian; Tian, Dejian; Tian, Weidong |
|
2020
|
On the probability of default in a market with price clustering and jump risk. Zbl 1437.91443
Song, Shiyu; Wang, Yongjin; Xu, Guangli |
|
2020
|
Von Neumann-Gale dynamics and capital growth in financial markets with frictions. Zbl 1437.91415
Babaei, Esmaeil; Evstigneev, Igor V.; Schenk-Hoppé, Klaus Reiner; Zhitlukhin, Mikhail |
|
2020
|
No-arbitrage commodity option pricing with market manipulation. Zbl 1443.91281
Aïd, René; Callegaro, Giorgia; Campi, Luciano |
|
2020
|
On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration. Zbl 1443.91337
Backhoff-Veraguas, Julio; Tangpi, Ludovic |
|
2020
|
Consumption and portfolio decisions with uncertain lifetimes. Zbl 1437.91405
Chen, Shou; Fu, Richard; Wedge, Lei; Zou, Ziran |
|
2020
|
Game theoretic valuation of deposit insurance under jump risk: from too small to survive to too big to fail. Zbl 1433.91147
Wong, Tat Wing |
|
2020
|
Optimal portfolio choice: a minimum expected loss approach. Zbl 1466.91299
Ramírez-Hassan, Andrés; Guerra-Urzola, Rosember |
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2020
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The learning premium. Zbl 1469.91048
Bichuch, Maxim; Guasoni, Paolo |
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2020
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Arbitrage-free modeling under Knightian uncertainty. Zbl 1461.91291
Burzoni, Matteo; Maggis, Marco |
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2020
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Nash equilibrium strategies and survival portfolio rules in evolutionary models of asset markets. Zbl 1437.91046
Belkov, Sergei; Evstigneev, Igor V.; Hens, Thorsten; Xu, Le |
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2020
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Consumption-investment optimization problem in a Lévy financial model with transaction costs and Làdlàg strategies. Zbl 1437.91409
Lepinette, E.; Tran, T. Q. |
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2020
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Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs. Zbl 1417.91488
Yang, Zhou; Liang, Gechun; Zhou, Chao |
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2019
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Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty. Zbl 1422.91643
Bismuth, Alexis; Guéant, Olivier; Pu, Jiang |
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2019
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Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option. Zbl 1410.91465
SenGupta, Indranil; Wilson, William; Nganje, William |
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2019
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Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework. Zbl 1422.91736
Benth, Fred Espen; Piccirilli, Marco; Vargiolu, Tiziano |
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2019
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Foreign exchange markets with last look. Zbl 1411.91488
Cartea, Álvaro; Jaimungal, Sebastian; Walton, Jamie |
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2019
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Borrowing constraints, effective flexibility in labor supply, and portfolio selection. Zbl 1410.91318
Lee, Ho-Seok; Shim, Gyoocheol; Shin, Yong Hyun |
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2019
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Golden options in financial mathematics. Zbl 1422.91679
Balbás, Alejandro; Balbás, Beatriz; Balbás, Raquel |
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2019
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Irreversible investment with fixed adjustment costs: a stochastic impulse control approach. Zbl 1422.91649
Federico, Salvatore; Rosestolato, Mauro; Tacconi, Elisa |
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2019
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Impact of contingent payments on systemic risk in financial networks. Zbl 1422.91740
Banerjee, Tathagata; Feinstein, Zachary |
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2019
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A switching microstructure model for stock prices. Zbl 1417.91565
Hainaut, Donatien; Goutte, Stephane |
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2019
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Nonlinear equity valuation using conic finance and its regulatory implications. Zbl 1411.91636
Madan, Dilip B. |
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2019
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Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles. Zbl 1411.91512
Jarrow, Robert |
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2019
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Optimal credit investment and risk control for an insurer with regime-switching. Zbl 1411.91267
Bo, Lijun; Liao, Huafu; Wang, Yongjin |
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2019
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Optimal investment with random endowments and transaction costs: duality theory and shadow prices. Zbl 1410.91409
Bayraktar, Erhan; Yu, Xiang |
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2019
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How local in time is the no-arbitrage property under capital gains taxes? Zbl 1417.91571
Kühn, Christoph |
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2019
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Bubbles in assets with finite life. Zbl 1417.91222
Berestycki, Henri; Bruggeman, Cameron; Monneau, Regis; Scheinkman, José A. |
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2019
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A macroscopic portfolio model: from rational agents to bounded rationality. Zbl 1420.91436
Trimborn, Torsten |
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2019
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Consumption-investment problem with pathwise ambiguity under logarithmic utility. Zbl 1422.91655
Liang, Zongxia; Ma, Ming |
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2019
|
Turnpike property and convergence rate for an investment and consumption model. Zbl 1410.91410
Bian, Baojun; Zheng, Harry |
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2019
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Increasing risk aversion and life-cycle investing. Zbl 1410.91408
Back, Kerry; Liu, Ruomeng; Teguia, Alberto |
|
2019
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Characterizations of risk aversion in cumulative prospect theory. Zbl 1410.91225
Mao, Tiantian; Yang, Fan |
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2019
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Mean field game of controls and an application to trade crowding. Zbl 1397.91084
Cardaliaguet, Pierre; Lehalle, Charles-Albert |
|
2018
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Robust return risk measures. Zbl 1404.91134
Bellini, Fabio; Laeven, Roger J. A.; Rosazza Gianin, Emanuela |
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2018
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Existence of a Radner equilibrium in a model with transaction costs. Zbl 1396.91706
Weston, Kim |
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2018
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Time consistency for set-valued dynamic risk measures for bounded discrete-time processes. Zbl 1397.91595
Chen, Yanhong; Hu, Yijun |
|
2018
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Sensitivity analysis for marked Hawkes processes: application to CLO pricing. Zbl 1396.91785
Bernis, Guillaume; Salhi, Kaouther; Scotti, Simone |
|
2018
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Martingale problem under nonlinear expectations. Zbl 1391.60094
Guo, Xin; Pan, Chen; Peng, Shige |
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2018
|
Sensitivity analysis for expected utility maximization in incomplete Brownian market models. Zbl 1397.91545
Backhoff Veraguas, Julio; Silva, Francisco J. |
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2018
|
Arbitrage and utility maximization in market models with an insider. Zbl 1396.91232
Chau, Huy N.; Runggaldier, Wolfgang J.; Tankov, Peter |
|
2018
|
Multidimensional investment problem. Zbl 1404.91255
Christensen, Sören; Salminen, Paavo |
|
2018
|
Strongly consistent multivariate conditional risk measures. Zbl 1397.91600
Hoffmann, Hannes; Meyer-Brandis, Thilo; Svindland, Gregor |
|
2018
|
| ...and 163 more Documents |
