Bäuerle, Nicole; Göll, Tamara Nash equilibria for relative investors via no-arbitrage arguments. (English) Zbl 1512.91116 Math. Methods Oper. Res. 97, No. 1, 1-23 (2023). MSC: 91G10 91G15 91B16 91A16 PDFBibTeX XMLCite \textit{N. Bäuerle} and \textit{T. Göll}, Math. Methods Oper. Res. 97, No. 1, 1--23 (2023; Zbl 1512.91116) Full Text: DOI arXiv
Escobar-Anel, Marcos; Kschonnek, Michel; Zagst, Rudi Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation. (English) Zbl 1484.91419 Math. Methods Oper. Res. 95, No. 1, 101-140 (2022). MSC: 91G10 49L20 PDFBibTeX XMLCite \textit{M. Escobar-Anel} et al., Math. Methods Oper. Res. 95, No. 1, 101--140 (2022; Zbl 1484.91419) Full Text: DOI
Dahl, Kristina Rognlien Management of a hydropower system via convex duality. (English) Zbl 1410.93146 Math. Methods Oper. Res. 89, No. 1, 43-71 (2019). MSC: 93E20 93C95 90C46 PDFBibTeX XMLCite \textit{K. R. Dahl}, Math. Methods Oper. Res. 89, No. 1, 43--71 (2019; Zbl 1410.93146) Full Text: DOI arXiv
Bäuerle, Nicole; Grether, Stefanie Complete markets do not allow free cash flow streams. (English) Zbl 1318.91079 Math. Methods Oper. Res. 81, No. 2, 137-146 (2015). Reviewer: George Stoica (Saint John) MSC: 91B24 PDFBibTeX XMLCite \textit{N. Bäuerle} and \textit{S. Grether}, Math. Methods Oper. Res. 81, No. 2, 137--146 (2015; Zbl 1318.91079) Full Text: DOI
Eriksson, Marcus; Lempa, Jukka; Kastberg Nilssen, Trygve Swing options in commodity markets: a multidimensional Lévy diffusion model. (English) Zbl 1287.91140 Math. Methods Oper. Res. 79, No. 1, 31-67 (2014). Reviewer: Pavel Stoynov (Sofia) MSC: 91G20 60G51 60J60 90C39 91G60 PDFBibTeX XMLCite \textit{M. Eriksson} et al., Math. Methods Oper. Res. 79, No. 1, 31--67 (2014; Zbl 1287.91140) Full Text: DOI arXiv
Temme, Johannes P. Power utility maximization in exponential Lévy models: Convergence of discrete-time to continuous-time maximizers. (English) Zbl 1267.91088 Math. Methods Oper. Res. 76, No. 1, 21-41 (2012). Reviewer: Krzysztof Piasecki (Poznań) MSC: 91G80 60G51 60H30 91G10 91B16 PDFBibTeX XMLCite \textit{J. P. Temme}, Math. Methods Oper. Res. 76, No. 1, 21--41 (2012; Zbl 1267.91088) Full Text: DOI arXiv
Kallsen, Jan; Muhle-Karbe, Johannes Existence of shadow prices in finite probability spaces. (English) Zbl 1217.91170 Math. Methods Oper. Res. 73, No. 2, 251-262 (2011). Reviewer: John O’Hara (Wivenhoe Park) MSC: 91G10 91B16 PDFBibTeX XMLCite \textit{J. Kallsen} and \textit{J. Muhle-Karbe}, Math. Methods Oper. Res. 73, No. 2, 251--262 (2011; Zbl 1217.91170) Full Text: DOI arXiv Link
Bäuerle, Nicole; Blatter, Anja; Müller, Alfred Dependence properties and comparison results for Lévy processes. (English) Zbl 1141.60023 Math. Methods Oper. Res. 67, No. 1, 161-186 (2008). MSC: 60G51 60E15 62H05 91B28 PDFBibTeX XMLCite \textit{N. Bäuerle} et al., Math. Methods Oper. Res. 67, No. 1, 161--186 (2008; Zbl 1141.60023) Full Text: DOI Link