Pages that link to "Item:Q5957686"

The following pages link to Minimax and minimal distance martingale measures and their relationship to portfolio optimization (Q5957686):

Displaying 50 items.

• Convex ordering criteria for Lévy processes (Q477990) (← links)
• Utility maximisation and utility indifference price for exponential semi-martingale models and HARA utilities (Q492168) (← links)
• Risk measure pricing and hedging in incomplete markets (Q665707) (← links)
• Bounds for the utility-indifference prices of non-traded assets in incomplete markets (Q816441) (← links)
• Existence and uniqueness of martingale solutions to option pricing equations with noise (Q831331) (← links)
• From the minimal entropy martingale measures to the optimal strategies for the exponential utility maximization: The case of geometric Lévy processes (Q853860) (← links)
• Comparison of option prices in semimartingale models (Q854274) (← links)
• Characterisation of optimal dual measures via distortion (Q882491) (← links)
• A journey from statistics and probability to risk theory. An interview with Ludger Rüschendorf (Q906349) (← links)
• Utility maximization under a shortfall risk constraint (Q952687) (← links)
• Minimal Hellinger martingale measures of order \(q\) (Q1003340) (← links)
• Comparing the minimal Hellinger martingale measure of order \(q\) to the \(q\)-optimal martingale measure (Q1016619) (← links)
• A complete explicit solution to the log-optimal portfolio problem. (Q1413691) (← links)
• Equal risk pricing under convex trading constraints (Q1655628) (← links)
• Distortion risk measures, ROC curves, and distortion divergence (Q1688727) (← links)
• Utility maximizing entropy and the second law of thermodynamics. (Q1879820) (← links)
• On admissible strategies in robust utility maximization (Q1938976) (← links)
• Optimal equivalent probability measures under enlarged filtrations (Q2278882) (← links)
• Barycentric spectral domain decomposition methods for valuing a class of infinite activity Lévy models (Q2319611) (← links)
• Cost-efficiency in multivariate Lévy models (Q2351198) (← links)
• Option pricing for symmetric Lévy returns with applications (Q2398586) (← links)
• The Bellman equation for power utility maximization with semimartingales (Q2428054) (← links)
• The numéraire portfolio in semimartingale financial models (Q2463718) (← links)
• Minimal \(f^q\)-Martingale measures for exponential Lévy processes (Q2475035) (← links)
• Robust utility maximization without model compactness (Q2797753) (← links)
• Expected Utility Maximization for Exponential Lévy Models with Option and Information Processes (Q2967983) (← links)
• ROBUST EXPONENTIAL HEDGING AND INDIFFERENCE VALUATION (Q3067765) (← links)
• PORTFOLIO CHOICE VIA QUANTILES (Q3084597) (← links)
• THE MINIMAL κ-ENTROPY MARTINGALE MEASURE (Q3166715) (← links)
• On a Connection between Power and Logarithmic Utility Maximization Problems in the Exponential Lévy Model (Q3462260) (← links)
• Relative and Discrete Utility Maximising Entropy (Q3567158) (← links)
• UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS (Q3580219) (← links)
• Exponential Hedging and Entropic Penalties (Q4551807) (← links)
• On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper (Q4551808) (← links)
• An f-Divergence Approach for Optimal Portfolios in Exponential Lévy Models (Q4561928) (← links)
• Multiasset Derivatives and Joint Distributions of Asset Prices (Q4561945) (← links)
• Pricing Asian options in a semimartingale model (Q4610222) (← links)
• On the Convergence of the<i>p</i>-Optimal Martingale Measures to the Minimal Entropy Martingale Measure (Q4678744) (← links)
• Weighted Scoring Rules and Convex Risk Measures (Q5060508) (← links)
• Martingale and duality methods for optimal investment and reinsurance problem in a Lévy model (Q5078056) (← links)
• Disparity, Shortfall, and Twice-Endogenous HARA Utility (Q5080558) (← links)
• (Q5096566) (← links)
• A revised option pricing formula with the underlying being banned from short selling (Q5139206) (← links)
• Optimal claims with fixed payoff structure (Q5245622) (← links)
• A note on convergence of option prices and their Greeks for Lévy models (Q5410820) (← links)
• MORE ON MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE (Q5472774) (← 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)
• A new technique for calibrating stochastic volatility models: the Malliavin gradient method (Q5484638) (← links)
• MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS (Q5692939) (← links)