Christoph Belak

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List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Optimal investment for retail investors Mathematical Finance	2023-09-28	Paper
Convergence of optimal investment problems in the vanishing fixed cost limit SIAM Journal on Control and Optimization	2022-09-29	Paper
Optimal investment with time-varying stochastic endowments SIAM Journal on Financial Mathematics	2022-08-22	Paper
Continuous-time mean field games with finite state space and common noise Applied Mathematics and Optimization	2021-10-19	Paper
Finite-horizon optimal investment with transaction costs: construction of the optimal strategies Finance and Stochastics	2019-09-19	Paper
Utility maximisation in a factor model with constant and proportional transaction costs Finance and Stochastics	2019-01-18	Paper
Backward nonlinear expectation equations Mathematics and Financial Economics	2018-03-01	Paper
A general verification result for stochastic impulse control problems SIAM Journal on Control and Optimization	2017-03-17	Paper
Worst-case portfolio optimization with proportional transaction costs Stochastics	2016-04-27	Paper
Worst-case portfolio optimization in a market with bubbles International Journal of Theoretical and Applied Finance	2016-04-14	Paper
On the uniqueness of unbounded viscosity solutions arising in an optimal terminal wealth problem with transaction costs SIAM Journal on Control and Optimization	2015-09-14	Paper
Worst-case optimal investment with a random number of crashes Statistics & Probability Letters	2014-06-11	Paper

Research outcomes over time

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