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CONSTRAINED OPTIMIZATION WITH RESPECT TO STOCHASTIC DOMINANCE: APPLICATION TO PORTFOLIO INSURANCE
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CONSTRAINED OPTIMIZATION WITH RESPECT TO STOCHASTIC DOMINANCE: APPLICATION TO PORTFOLIO INSURANCE (2006)CONSTRAINED OPTIMIZATION WITH RESPECT TO …Stochastic Finance (2004)Stochastic FinanceOptimal portfolio management with American capital guarantee (2004)Optimal portfolio management …American Options, Multi–armed Bandits, and Optimal Consumption Plans: A Unifying View (2003)American Options, Multi–armed…Mathematics of Financial Markets (1999)Mathematics of Financial Mark…Optimization of consumption with labor income (1998)Optimization of consumption w…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…On Azéma–Yor processes, their optimal properties and the Bachelier–drawdown equation (2012)On Azéma–Yor processes, their…On Az\'ema-Yor processes, their optimal properties and the Bachelier-drawdown equation (2009)On Az\'ema-Yor processes, the…Processes of normal inverse Gaussian type (1997)PORTFOLIO MANAGEMENT WITH CONSTRAINTS (2007)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Identifying the Free Boundary of a Stochastic, Irreversible Investment Problem via the Bank--El Karoui Representation Theorem (2014)On an integral equation for the free-boundary of stochastic, irreversible investment problems (2014)OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS (1993)Continuous Martingales and Brownian Motion (1999)Stochastic Finance: An Introduction in Discrete Time (2002)Optimum consumption and portfolio rules in a continuous-time model (1971)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Backward Stochastic Differential Equations in Finance (1997)Optimal Investment in Incomplete Financial Markets (2002)Optimal consumption from investment and random endowment in incomplete semimartingale markets (2003)An Intertemporal Capital Asset Pricing Model (1973)CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES (2009)Omega performance measure and portfolio insurance (2010)Pension funds with a minimum guarantee: a stochastic control approach (2010)The Skorokhod embedding problem and its offspring (2004)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach (2000)Stock Trading: An Optimal Selling Rule (2001)Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching (2007)Coherent multiperiod risk adjusted values and Bellman’s principle (2006)AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT (2007)Robustness and sensitivity analysis of risk measurement procedures (2010)Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002)Pricing American Options: A Duality Approach (2004)Model Uncertainty and Option Markets with Heterogeneous Beliefs (2006)
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References

  • 1998Methods of Mathematical Finance1,939 cited
  • 1998Methods of Mathematical Finance888 cited
  • 2004Stochastic Finance701 cited
  • 1999Mathematics of Financial Markets338 cited
  • 1998Optimization of consumption with labor income185 cited
  • 2004Optimal portfolio management with American capital guarantee116 cited
  • 2003American Options, Multi–armed Bandits, and Optimal Consumption Plans: A Unifying View50 cited

Cited by

  • 2012On Azéma–Yor processes, their optimal properties and the Bachelier–drawdown equation26 cited
  • 2009On Az\'ema-Yor processes, their optimal properties and the Bachelier-drawdown equation26 cited

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