| Publication | Date of Publication | Type |
|---|
| Smoothness of the Value Function for Optimal Consumption Model with Consumption-Wealth Utility and Borrowing Constraint | 2022-10-03 | Paper |
A portfolio choice problem under risk capacity constraint
Annals of Finance | 2022-09-21 | Paper |
Portfolio concentration, portfolio inertia, and ambiguous correlation
Journal of Economic Theory | 2022-07-15 | Paper |
A generalized stochastic differential utility driven by \(G\)-Brownian motion
Mathematics and Financial Economics | 2020-06-18 | Paper |
Semi-nonparametric approximation and index options
Annals of Finance | 2020-01-31 | Paper |
Portfolio choice with skewness preference and wealth-dependent risk aversion
Quantitative Finance | 2020-01-24 | Paper |
The financial market: not as big as you think
Mathematics and Financial Economics | 2019-05-08 | Paper |
Comparative statics under \(\kappa\)-ambiguity for \(\log\)-Brownian asset prices
International Journal of Economic Theory | 2018-09-04 | Paper |
Optimal portfolio choice and consistent performance
Decisions in Economics and Finance | 2015-05-04 | Paper |
Optimal risk-sharing under mutually singular beliefs
Mathematical Social Sciences | 2014-12-09 | Paper |
Spanning with indexes
Journal of Mathematical Economics | 2014-09-08 | Paper |
An optimal insurance design problem under Knightian uncertainty
Decisions in Economics and Finance | 2013-11-07 | Paper |
An optimal stopping problem with a reward constraint
Finance and Stochastics | 2012-11-15 | Paper |
The valuation of American options for a class of diffusion processes
Management Science | 2012-02-19 | Paper |
Optimal design of equity-linked products with a probabilistic constraint
Scandinavian Actuarial Journal | 2011-02-22 | Paper |
The design of equity-indexed annuities
Insurance Mathematics & Economics | 2009-01-16 | Paper |
PORTFOLIO MANAGEMENT WITH CONSTRAINTS
Mathematical Finance | 2007-11-21 | Paper |
The valuation of American call options on the minimum of two dividend-paying assets
The Annals of Applied Probability | 2004-03-21 | Paper |
Calibrating the Black-Derman-Toy model: some theoretical results
Applied Mathematical Finance | 2002-09-05 | Paper |
The Riccati equation in mathematical finance.
Journal of Symbolic Computation | 2002-06-11 | Paper |
| scientific article; zbMATH DE number 1296988 (Why is no real title available?) | 1999-11-18 | Paper |
| scientific article; zbMATH DE number 169313 (Why is no real title available?) | 1993-05-16 | Paper |
| scientific article; zbMATH DE number 11373 (Why is no real title available?) | 1992-06-25 | Paper |
| scientific article; zbMATH DE number 4150356 (Why is no real title available?) | 1988-01-01 | Paper |
