Volume 14; Issue 3

Finance and Stochastics

Volume 14; Issue 3
1

Asset allocation and liquidity breakdowns: what

Peter Diesinger, Holger Kraft, Frank Seifried
Journal:
Finance and Stochastics
Year:
2010
Language:
english
File:
PDF, 782 KB
english, 2010
2

On measuring nonlinear risk with scarce observations

Alexander Cherny, Raphael Douady, Stanislav Molchanov
Journal:
Finance and Stochastics
Year:
2010
Language:
english
File:
PDF, 491 KB
english, 2010
3

Perturbed Brownian motion and its application to

Angelos Dassios, Shanle Wu
Journal:
Finance and Stochastics
Year:
2010
Language:
english
File:
PDF, 535 KB
english, 2010
4

Exponential utility maximization under partial information

Michael Mania, Marina Santacroce
Journal:
Finance and Stochastics
Year:
2010
Language:
english
File:
PDF, 674 KB
english, 2010
5

Option hedging for small investors under liquidity costs

Umut Çetin, H. Mete Soner, Nizar Touzi
Journal:
Finance and Stochastics
Year:
2010
Language:
english
File:
PDF, 569 KB
english, 2010
6

Representation of the penalty term of dynamic concave utilities

Freddy Delbaen, Shige Peng, Emanuela Rosazza Gianin
Journal:
Finance and Stochastics
Year:
2010
Language:
english
File:
PDF, 574 KB
english, 2010
7

Asymptotic distribution of law-invariant risk functionals

Georg Pflug, Nancy Wozabal
Journal:
Finance and Stochastics
Year:
2010
Language:
english
File:
PDF, 562 KB
english, 2010