Found 17 Documents (Results 1–17)
Young, timid, and risk takers. (English) Zbl 1522.91221
Shortfall aversion. (English) Zbl 1508.91501
The limits of leverage. (English) Zbl 1411.91503
MSC:
91G10
Risk-sensitive mean-field type control under partial observation. (English) Zbl 1334.93180
Benth, Fred Espen (ed.) et al., Stochastics of environmental and financial economics. Centre of Advanced Study, Oslo, Norway, 2014–2015. Cham: Springer (ISBN 978-3-319-23424-3/hbk; 978-3-319-23425-0/ebook). Springer Proceedings in Mathematics & Statistics 138, 243-263 (2016).
Transaction costs, trading volume, and the liquidity premium. (English) Zbl 1305.91218
Reviewer: Aleksandr D. Borisenko (Kyïv)
MSC:
91G10
Backward stochastic partial differential equations related to utility maximization and hedging. (English. Russian original) Zbl 1393.60070
J. Math. Sci., New York 153, No. 3, 291-380 (2008); translation from Sovrem. Mat. Prilozh. 45 (2007).
Martingale approach to stochastic differential games of control and stopping. (English) Zbl 1142.93040
Optimal compensation with adverse selection and dynamic actions. (English) Zbl 1173.91383
MSC:
91B28
91B40
A general problem of an optimal equivalent change of measure and contingent claim pricing in an incomplete market. (English) Zbl 1046.60041
Reviewer: Alexis Derviz (Praha)
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