Works matching IS 09601627 AND DT 2020 AND VI 30 AND IP 4

Results: 15

Continuous‐time mean–variance portfolio selection: A reinforcement learning framework.

Published in:

Mathematical Finance, 2020, v. 30, n. 4, p. 1273, doi. 10.1111/mafi.12281

By:

Wang, Haoran;
Zhou, Xun Yu

Publication type:

Article

Robust risk aggregation with neural networks.

Published in:

Mathematical Finance, 2020, v. 30, n. 4, p. 1229, doi. 10.1111/mafi.12280

By:

Eckstein, Stephan;
Kupper, Michael;
Pohl, Mathias

Publication type:

Article

A term structure model for dividends and interest rates.

Published in:

Mathematical Finance, 2020, v. 30, n. 4, p. 1461, doi. 10.1111/mafi.12279

By:

Filipović, Damir;
Willems, Sander

Publication type:

Article

When to sell an asset amid anxiety about drawdowns.

Published in:

Mathematical Finance, 2020, v. 30, n. 4, p. 1422, doi. 10.1111/mafi.12278

By:

Rodosthenous, Neofytos;
Zhang, Hongzhong

Publication type:

Article

Convergence of optimal expected utility for a sequence of discrete‐time markets.

Published in:

Mathematical Finance, 2020, v. 30, n. 4, p. 1205, doi. 10.1111/mafi.12277

By:

Kreps, David M.;
Schachermayer, Walter

Publication type:

Article

Network valuation in financial systems.

Published in:

Mathematical Finance, 2020, v. 30, n. 4, p. 1181, doi. 10.1111/mafi.12272

By:

Barucca, Paolo;
Bardoscia, Marco;
Caccioli, Fabio;
D'Errico, Marco;
Visentin, Gabriele;
Caldarelli, Guido;
Battiston, Stefano

Publication type:

Article

Semitractability of optimal stopping problems via a weighted stochastic mesh algorithm.

Published in:

Mathematical Finance, 2020, v. 30, n. 4, p. 1591, doi. 10.1111/mafi.12271

By:

Belomestny, Denis;
Kaledin, Maxim;
Schoenmakers, John

Publication type:

Article

Risk functionals with convex level sets.

Published in:

Mathematical Finance, 2020, v. 30, n. 4, p. 1337, doi. 10.1111/mafi.12270

By:

Wang, Ruodu;
Wei, Yunran

Publication type:

Article

Self‐similarity in long‐horizon returns.

Published in:

Mathematical Finance, 2020, v. 30, n. 4, p. 1368, doi. 10.1111/mafi.12269

By:

Madan, Dilip B.;
Schoutens, Wim

Publication type:

Article

Asset pricing with heterogeneous beliefs and illiquidity.

Published in:

Mathematical Finance, 2020, v. 30, n. 4, p. 1392, doi. 10.1111/mafi.12268

By:

Muhle‐Karbe, Johannes;
Nutz, Marcel;
Tan, Xiaowei

Publication type:

Article

Effective risk aversion in thin risk‐sharing markets.

Published in:

Mathematical Finance, 2020, v. 30, n. 4, p. 1565, doi. 10.1111/mafi.12258

By:

Anthropelos, Michail;
Kardaras, Constantinos;
Vichos, Georgios

Publication type:

Article

No‐arbitrage implies power‐law market impact and rough volatility.

Published in:

Mathematical Finance, 2020, v. 30, n. 4, p. 1309, doi. 10.1111/mafi.12254

By:

Jusselin, Paul;
Rosenbaum, Mathieu

Publication type:

Article

Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero‐coupon bonds.

Published in:

Mathematical Finance, 2020, v. 30, n. 4, p. 1497, doi. 10.1111/mafi.12248

By:

Dassios, Angelos;
Lim, Jia Wei;
Qu, Yan

Publication type:

Article

A martingale representation theorem and valuation of defaultable securities.

Published in:

Mathematical Finance, 2020, v. 30, n. 4, p. 1527, doi. 10.1111/mafi.12244

By:

Choulli, Tahir;
Daveloose, Catherine;
Vanmaele, Michèle

Publication type:

Article

Issue Information.

Published in:: Mathematical Finance, 2020, v. 30, n. 4, p. 1179, doi. 10.1111/mafi.12216
Publication type:: Article