Works matching IS 09492984 AND DT 2019 AND VI 23 AND IP 1
Results: 7
A paradox in time-consistency in the mean-variance problem?
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- Finance & Stochastics, 2019, v. 23, n. 1, p. 173, doi. 10.1007/s00780-018-00381-0
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Utility maximisation in a factor model with constant and proportional transaction costs.
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- Finance & Stochastics, 2019, v. 23, n. 1, p. 29, doi. 10.1007/s00780-018-00380-1
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On the free boundary of an annuity purchase.
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- Finance & Stochastics, 2019, v. 23, n. 1, p. 97, doi. 10.1007/s00780-018-00379-8
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Minimax theorems for American options without time-consistency.
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- Finance & Stochastics, 2019, v. 23, n. 1, p. 209, doi. 10.1007/s00780-018-0378-2
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An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior.
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- Finance & Stochastics, 2019, v. 23, n. 1, p. 239, doi. 10.1007/s00780-018-0377-3
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A two-dimensional control problem arising from dynamic contracting theory.
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- Finance & Stochastics, 2019, v. 23, n. 1, p. 1, doi. 10.1007/s00780-018-0376-4
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- Article
On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes.
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- Finance & Stochastics, 2019, v. 23, n. 1, p. 139, doi. 10.1007/s00780-018-0375-5
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- Article