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Ruin problems and myopic portfolio optimization in continuous trading · Study

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ArticleRuin problems and myopic portfolio optimization in continuous trading

Knut Kristian Aase1986

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Articlebronze1986

Ruin problems and myopic portfolio optimization in continuous trading

Knut Kristian Aase

17 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Risk and Portfolio Optimization Probability and Risk Models

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References

1971Optimum consumption and portfolio rules in a continuous-time model 1987Stochastic Differential Equations: An Introduction with Applications.1981Martingales and stochastic integrals in the theory of continuous trading 2006Stochastic Differential Equations—An Introduction With Applications 1980MULTI-DIMENSIONAL DIFFUSION PROCESSES 1979Calcul Stochastique et Problèmes de Martingales 1984Piecewise-Deterministic Markov Processes: A General Class of Non-Diffusion Stochastic Models 1983Point Processes and Queues: Martingale Dynamics.

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2003Dynamic Asset Allocation with Event Risk

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Year1986

Typearticle

Published1986-02-01

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations17

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/0304-4149(86)90097-9

openalex_workW2067763124

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