Proper solutions for Epstein–Zin stochastic differential utility.
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- Finance & Stochastics, 2025, v. 29, n. 3, p. 885, doi. 10.1007/s00780-025-00569-1
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- Article
Works matching IS 09492984 AND DT 2025 AND VI 29 AND IP 3
Results: 7
1
2
CV@R-penalised portfolio optimisation with biased stochastic mirror descent.
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- Finance & Stochastics, 2025, v. 29, n. 3, p. 609, doi. 10.1007/s00780-025-00568-2
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- Article
3
Portfolio optimisation via strategy-specific eigenvector shrinkage.
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- Finance & Stochastics, 2025, v. 29, n. 3, p. 665, doi. 10.1007/s00780-025-00566-4
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- Publication type:
- Article
4
Equilibrium with heterogeneous information flows.
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- Finance & Stochastics, 2025, v. 29, n. 3, p. 791, doi. 10.1007/s00780-025-00565-5
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- Publication type:
- Article
5
Measuring risk contagion in financial networks with CoVaR.
- Published in:
- Finance & Stochastics, 2025, v. 29, n. 3, p. 707, doi. 10.1007/s00780-025-00564-6
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- Publication type:
- Article
6
The law of one price in quadratic hedging and mean–variance portfolio selection.
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- Finance & Stochastics, 2025, v. 29, n. 3, p. 847, doi. 10.1007/s00780-025-00563-7
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- Article
7
Semimartingale properties of a generalised fractional Brownian motion and its mixtures with applications in asset pricing.
- Published in:
- Finance & Stochastics, 2025, v. 29, n. 3, p. 757, doi. 10.1007/s00780-025-00562-8
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- Publication type:
- Article