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Peter Lakner · Study
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Author
Peter Lakner
8 works
· latest 2016
· 1 institutions
cluster: provisional
ORCID 0000-0001-9102-1250
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Citations
660
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Most cited in this library
Optimal trading strategy for an investor: the case of partial information
1998 · 231 citations
Utility maximization with partial information
1995 · 172 citations
PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS
2006 · 67 citations
Optimal Control of a Mean-Reverting Inventory
2010 · 64 citations
High Frequency Asymptotics for the Limit Order Book
2016 · 36 citations
Works
8 shown
High Frequency Asymptotics for the Limit Order Book
Market Microstructure and Liquidity
·
2016
·
3 authors
36
citations
Optimal Production Management When Demand Depends on the Business Cycle
Operations Research
·
2013
·
3 authors
26
citations
Optimal Control of a Mean-Reverting Inventory
Operations Research
·
2010
·
3 authors
64
citations
PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS
Mathematical Finance
·
2006
·
2 authors
·
Open access
67
citations
Optimal Bankruptcy Time and Consumption/Investment Policies on an Infinite Horizon with a Continuous Debt Repayment Until Bankruptcy
Mathematics of Operations Research
·
2004
·
3 authors
33
citations
Optimal trading strategy for an investor: the case of partial information
Stochastic Processes and their Applications
·
1998
·
1 author
·
Open access
231
citations
Utility maximization with partial information
Stochastic Processes and their Applications
·
1995
·
1 author
·
Open access
172
citations
Martingale Measures For A Class of Right‐Continuous Processes
Mathematical Finance
·
1993
·
1 author
31
citations