Pages that link to "Item:Q3349710"
From MaRDI portal
The following pages link to A generalized clark representation formula, with application to optimal portfolios (Q3349710):
Displaying 50 items.
- Weak approximations for Wiener functionals (Q363864) (← links)
- Explicit solution of relative entropy weighted control (Q465547) (← links)
- Stochastic analysis for obtuse random walks (Q495716) (← links)
- Dynamic portfolio choice under ambiguity and regime switching mean returns (Q631261) (← links)
- A factor allocation approach to optimal bond portfolio (Q841841) (← links)
- Optimal portfolio choice in the bond market (Q881421) (← links)
- Complete and incomplete financial markets in multi-good economies (Q893422) (← links)
- Optimal portfolio choice for unobservable and regime-switching mean returns (Q951435) (← links)
- Welfare effects of controlling labor supply: An application of the stochastic Ramsey model (Q951466) (← links)
- Hedging using simulation: a least squares approach (Q956433) (← links)
- On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures (Q988681) (← links)
- Utility maximization with convex constraints and partial information (Q996765) (← links)
- Integral representation of renormalized self-intersection local times (Q999853) (← links)
- Optimal consumption and investment under partial information (Q1029540) (← links)
- Effects of financial innovations on market volatility when beliefs are heterogeneous (Q1128635) (← links)
- Martingale representation and hedging policies (Q1177217) (← links)
- Solvability of the Schrödinger equation by stochastic integration of magnetic fields (Q1326321) (← links)
- Asset and commodity prices with multi-attribute durable goods (Q1351930) (← links)
- White noise analysis for Lévy processes. (Q1425153) (← links)
- Futures market equilibrium with heterogeneity and a spot market at harvest (Q1589561) (← links)
- Explicit characterizations of financial prices with history-dependent utility (Q1602940) (← links)
- A continuous-time optimal insurance design with costly monitoring (Q1627672) (← links)
- A stochastic maximum principle for mixed regular-singular control problems via Malliavin calculus (Q1689689) (← links)
- Integration by parts and martingale representation for a Markov chain (Q1724128) (← links)
- A note on the hedging of options by Malliavin calculus in a jump-diffusion market (Q1734184) (← links)
- Optimal trading strategy for an investor: the case of partial information (Q1805777) (← links)
- Optimal portfolio in partially observed stochastic volatility models. (Q1872462) (← links)
- Free lunch and arbitrage possibilities in a financial market model with an insider. (Q1879525) (← links)
- A characterization of hedging portfolios for interest rate contingent claims. (Q1879909) (← links)
- Utility maximization with partial information (Q1890699) (← links)
- Blind deconvolution of the aortic pressure waveform using the Malliavin calculus (Q1958792) (← links)
- The pricing and hedging of an attainable claim in a hybrid Black-Scholes model under regime switching (Q2065427) (← links)
- Stochastic functional linear models and Malliavin calculus (Q2135880) (← links)
- Near-optimal asset allocation in financial markets with trading constraints (Q2242286) (← links)
- Portfolio selection: a review (Q2247913) (← links)
- Portfolio optimization under convex incentive schemes (Q2255013) (← links)
- Optimal acquisition of a partially hedgeable house (Q2342736) (← links)
- An analytic market condition for mutual fund separation: demand for the non-sharpe ratio maximizing portfolio (Q2419787) (← links)
- Valuation of boundary-linked assets by stochastic boundary value problems solved with a wavelet-collocation algorithm (Q2426012) (← links)
- Model robustness of finite state nonlinear filtering over the infinite time horizon (Q2455062) (← links)
- Optimal consumption and portfolio choice with ambiguity and anticipation (Q2456486) (← links)
- A discrete-time Clark-Ocone formula for Poisson functionals (Q2515784) (← links)
- Dynamic asset liability management with tolerance for limited shortfalls (Q2518531) (← links)
- Computation of optimal portfolios using simulation-based dimension reduction (Q2518536) (← links)
- Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences (Q2654415) (← links)
- Malliavin calculus for marked binomial processes and applications (Q2679546) (← links)
- Hedging options in market models modulated by the fractional Brownian motion (Q2758167) (← links)
- THE EFFECT OF ESTIMATION IN HIGH-DIMENSIONAL PORTFOLIOS (Q2847243) (← links)
- SENSITIVITY ANALYSIS OF NONLINEAR BEHAVIOR WITH DISTORTED PROBABILITY (Q2968276) (← links)
- Applications of the Quadratic Covariation Differentiation Theory: Variants of the Clark-Ocone and Stroock's Formulas (Q3114575) (← links)
