Optimal claims with fixed payoff structure
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Cites work
- A Martingale Representation Result and an Application to Incomplete Financial Markets
- A note on the suboptimality of path-dependent pay-offs in Lévy markets
- Advances in prospect theory: cumulative representation of uncertainty
- An explicit option-based strategy that outperforms dollar cost averaging
- Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
- Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
- Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case1
- Hedging of contingent claims and maximum price
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- scientific article; zbMATH DE number 920136 (Why is no real title available?)
- scientific article; zbMATH DE number 927094 (Why is no real title available?)
- Improving the Design of Financial Products in a Multidimensional Black-Scholes Market
- Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios
- Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection
- Minimax and minimal distance martingale measures and their relationship to portfolio optimization
- On the distributional transform, Sklar's theorem, and the empirical copula process
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Optimal demand for contingent claims when agents have law invariant utilities
- Optimum consumption and portfolio rules in a continuous-time model
- Stochastically ordered distributions and monotonicity of the oc-function of sequential probability ratio tests
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- Theory of games and economic behavior.
Cited in
(13)- Ordering results for risk bounds and cost-efficient payoffs in partially specified risk factor models
- Optimal payoff under the generalized dual theory of choice
- Cost-efficiency in multivariate Lévy models
- Optimal policies of call with notice period requirement
- Bounds on total economic capital: the DNB case study
- On the optimal investment
- Construction and hedging of optimal payoffs in Lévy models
- The optimal payoff for a Yaari investor
- Portfolio Optimization within a Wasserstein Ball
- Multivariate portfolio choice via quantiles
- Static Risk Measures in a Frequency-Severity Framework with Systematic Risk: Application in Reinsurance
- VaR bounds for joint portfolios with dependence constraints
- On the construction of optimal payoffs
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