Optimal portfolios: new variations of an old theme (Q1031945): Difference between revisions

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+Processes of normal inverse Gaussian type
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+Optimal consumption and portfolio policies when asset prices follow a diffusion process
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+Convex duality in constrained portfolio optimization
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+Hyperbolic distributions in finance
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
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+Worst-case scenario investment for insurers
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+Q4522707
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+OPTIMAL PORTFOLIOS WITH DEFAULTABLE SECURITIES A FIRM VALUE APPROACH
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+Worst-case scenario portfolio optimization: a new stochastic control approach
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+Optimal control of option portfolios and applications
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+OPTIMAL PORTFOLIOS UNDER THE THREAT OF A CRASH
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+Portfolio problems stopping at first hitting time with application to default risk
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+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
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+Optimum consumption and portfolio rules in a continuous-time model
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+A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
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+The relaxed investor and parameter uncertainty
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