Pages that link to "Item:Q1887262"

The following pages link to Optimal portfolios when stock prices follow an exponential Lévy process (Q1887262):

Displaying 46 items.

• Optimal investment of a time-dependent renewal risk model with stochastic return (Q264519) (← links)
• Asymptotic ruin probability of a renewal risk model with dependent by-claims and stochastic returns (Q289299) (← links)
• Consumption-investment problem with transaction costs for Lévy-driven price processes (Q309169) (← links)
• Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets (Q322955) (← links)
• Estimates for the ruin probability of a time-dependent renewal risk model with dependent by-claims (Q530729) (← links)
• Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model (Q659236) (← links)
• On a two-dimensional risk model with time-dependent claim sizes and risky investments (Q724520) (← links)
• Spectral calibration of exponential Lévy models (Q881412) (← links)
• On the distribution tail of an integrated risk model: A numerical approach (Q939337) (← links)
• Integrated insurance risk models with exponential Lévy investment (Q998271) (← links)
• Portfolio choice with jumps: a closed-form solution (Q1024892) (← links)
• Optimal portfolios for exponential Lévy processes. (Q1403170) (← links)
• Timing portfolio strategies with exponential Lévy processes (Q1722752) (← links)
• Robust consumption and portfolio policies when asset prices can jump (Q1757535) (← links)
• Portfolio selection: a review (Q2247913) (← links)
• Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns (Q2358481) (← links)
• Optimal investment for insurers when the stock price follows an exponential Lévy process (Q2384450) (← links)
• Uniform asymptotics for the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments (Q2407794) (← links)
• On the principle of increasing complexity in portfolio formation on the stock exchange (Q2455266) (← links)
• Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims (Q2513458) (← links)
• Power utility maximization in an exponential Lévy model without a risk-free asset (Q2577655) (← links)
• Infinite-time ruin probability of a renewal risk model with exponential Lévy process investment and dependent claims and inter-arrival times (Q2628198) (← links)
• Properties of certain Lévy and geometric Lévy processes (Q2790468) (← links)
• Uniform Asymptotic Estimates for Ruin Probabilities with Exponential Lévy Process Investment Returns and Two-sided Linear Heavy-tailed Claims (Q2796933) (← links)
• Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets (Q2871726) (← links)
• Optimal design of equity-linked products with a probabilistic constraint (Q3077741) (← links)
• On Approximations of Small Jumps of Subordinators with Particular Emphasis on a Dickman-Type Limit (Q3182429) (← links)
• Portfolio optimization and a factor model in a stochastic volatility market (Q3426318) (← links)
• A NOTE ON PORTFOLIO MANAGEMENT UNDER NON-GAUSSIAN LOGRETURNS (Q3523596) (← links)
• The Minimal Entropy and the Convergence of the<i>p</i>-Optimal Martingale Measures in a General Jump Model (Q3535728) (← links)
• Optimal Investment and Bounded Ruin Probability: Constant Portfolio Strategies and Mean-variance Analysis (Q3634586) (← links)
• A note on log-optimal portfolios in exponential Lévy markets (Q4659948) (← links)
• Finite- and Infinite-Time Ruin Probabilities with General Stochastic Investment Return Processes and Bivariate Upper Tail Independent and Heavy-Tailed Claims (Q4915657) (← links)
• Uniform Tail Asymptotics for the Sum of Two Correlated Classes with Stochastic Returns and Dependent Heavy Tails (Q4981822) (← links)
• Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments (Q5085844) (← links)
• Multivariate Lévy processes with dependent jump intensity (Q5245898) (← links)
• One-dimensional distributions of subordinators with upper truncated Lévy measure, and applications (Q5320656) (← links)
• Stability of Merton's portfolio optimization problem for Lévy models (Q5410812) (← links)
• Uniform asymptotic estimates for ruin probabilities of renewal risk models with exponential Lévy process investment returns and dependent claims (Q5414542) (← links)
• NEWS‐GENERATED DEPENDENCE AND OPTIMAL PORTFOLIOS FOR <i>n</i> STOCKS IN A MARKET OF BARNDORFF‐NIELSEN AND SHEPHARD TYPE (Q5455262) (← links)
• Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes (Q5467712) (← links)
• MARKOWITZ'S PORTFOLIO OPTIMIZATION IN AN INCOMPLETE MARKET (Q5472785) (← links)
• Optimal portfolio for an insider in a market driven by Lévy processes§ (Q5475314) (← links)
• Uniform asymptotics for ruin probabilities of a time-dependent renewal risk model with dependence structures and stochastic returns (Q6169364) (← links)
• Optimal investment and consumption for financial markets with jumps under transaction costs (Q6181518) (← links)
• Asymptotics for ruin probabilities of a dependent delayed-claim risk model with general investment returns and diffusion (Q6550287) (← links)