Pages that link to "Item:Q1403170"
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The following pages link to Optimal portfolios for exponential Lévy processes. (Q1403170):
Displaying 44 items.
- Abstract, classic, and explicit turnpikes (Q471171) (← links)
- Utility maximization in models with conditionally independent increments (Q614120) (← links)
- Spectral calibration of exponential Lévy models (Q881412) (← links)
- On the duality principle in option pricing: semimartingale setting (Q928504) (← links)
- Some stability results of optimal investment in a simple Lévy market (Q939388) (← links)
- Pricing of catastrophe insurance options written on a loss index with reestimation (Q974805) (← links)
- On \(q\)-optimal martingale measures in exponential Lévy models (Q1003349) (← links)
- Portfolio choice with jumps: a closed-form solution (Q1024892) (← links)
- The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process (Q1417729) (← links)
- Optimal asset liquidation with multiplicative transient price impact (Q1630423) (← links)
- Portfolio strategy of financial market with regime switching driven by geometric Lévy process (Q1724346) (← links)
- Robust consumption and portfolio policies when asset prices can jump (Q1757535) (← links)
- Optimal portfolios for logarithmic utility. (Q1877521) (← links)
- Utility maximization, risk aversion, and stochastic dominance (Q1938972) (← links)
- Simplified stochastic calculus with applications in economics and finance (Q2030297) (← links)
- Simplified stochastic calculus via semimartingale representations (Q2076652) (← links)
- BSDEs and log-utility maximization for Lévy processes (Q2178928) (← links)
- Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics (Q2230762) (← links)
- Portfolio selection: a review (Q2247913) (← links)
- Consumption-investment problem with pathwise ambiguity under logarithmic utility (Q2323332) (← links)
- Logarithmic utility maximization in an exponential Lévy model (Q2356496) (← links)
- Minimal \(f^q\)-Martingale measures for exponential Lévy processes (Q2475035) (← links)
- Portfolio optimization in a defaultable Lévy-driven market model (Q2516636) (← links)
- Power utility maximization in an exponential Lévy model without a risk-free asset (Q2577655) (← links)
- Optimal design of equity-linked products with a probabilistic constraint (Q3077741) (← links)
- On a Connection between Power and Logarithmic Utility Maximization Problems in the Exponential Lévy Model (Q3462260) (← links)
- A NOTE ON PORTFOLIO MANAGEMENT UNDER NON-GAUSSIAN LOGRETURNS (Q3523596) (← links)
- UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS (Q3580219) (← links)
- An f-Divergence Approach for Optimal Portfolios in Exponential Lévy Models (Q4561928) (← links)
- ROBUST UTILITY MAXIMIZATION WITH LÉVY PROCESSES (Q4635032) (← links)
- Risk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes (Q4637645) (← links)
- LÉVY PROCESSES INDUCED BY DIRICHLET (B‐)SPLINES: MODELING MULTIVARIATE ASSET PRICE DYNAMICS (Q4917297) (← links)
- POWER UTILITY MAXIMIZATION IN CONSTRAINED EXPONENTIAL LÉVY MODELS (Q4919616) (← links)
- PORTFOLIO ALLOCATION IN A LEVY-TYPE JUMP-DIFFUSION MODEL WITH NONLIFE INSURANCE RISK (Q4990920) (← links)
- (Q5168842) (← links)
- Robust Portfolio Choice and Indifference Valuation (Q5247614) (← links)
- Martingale Approach to Optimal Portfolio-Consumption Problems in Markov-Modulated Pure-Jump Models (Q5256324) (← links)
- A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing (Q5297933) (← links)
- On Convergence to the Exponential Utility Problem with Jumps (Q5443470) (← links)
- MARKOWITZ'S PORTFOLIO OPTIMIZATION IN AN INCOMPLETE MARKET (Q5472785) (← links)
- Esscher transforms and the minimal entropy martingale measure for exponential Lévy models (Q5484637) (← links)
- Strict local martingales and optimal investment in a Black–Scholes model with a bubble (Q5743124) (← links)
- Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model (Q6130338) (← links)
- A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence (Q6187725) (← links)
