Wang, Yike; Liu, Jingzhen; Siu, Tak Kuen Investment-consumption-insurance optimisation problem with multiple habit formation and non-exponential discounting. (English) Zbl 1528.91069 Finance Stoch. 28, No. 1, 161-214 (2024). MSC: 91G10 91G05 91B42 93E20 PDFBibTeX XMLCite \textit{Y. Wang} et al., Finance Stoch. 28, No. 1, 161--214 (2024; Zbl 1528.91069) Full Text: DOI
Tse, Alex S. L.; Zheng, Harry Speculative trading, prospect theory and transaction costs. (English) Zbl 1505.91373 Finance Stoch. 27, No. 1, 49-96 (2023). MSC: 91G15 60G40 91B16 PDFBibTeX XMLCite \textit{A. S. L. Tse} and \textit{H. Zheng}, Finance Stoch. 27, No. 1, 49--96 (2023; Zbl 1505.91373) Full Text: DOI arXiv
Choulli, Tahir; Yansori, Sina Log-optimal and numéraire portfolios for market models stopped at a random time. (English) Zbl 1494.91133 Finance Stoch. 26, No. 3, 535-585 (2022). MSC: 91G10 60G48 94A17 PDFBibTeX XMLCite \textit{T. Choulli} and \textit{S. Yansori}, Finance Stoch. 26, No. 3, 535--585 (2022; Zbl 1494.91133) Full Text: DOI
Deng, Shuoqing; Li, Xun; Pham, Huyên; Yu, Xiang Optimal consumption with reference to past spending maximum. (English) Zbl 1484.91449 Finance Stoch. 26, No. 2, 217-266 (2022). MSC: 91G15 91B16 91B42 93E20 PDFBibTeX XMLCite \textit{S. Deng} et al., Finance Stoch. 26, No. 2, 217--266 (2022; Zbl 1484.91449) Full Text: DOI arXiv
Jaśkiewicz, Anna; Nowak, Andrzej S. Markov decision processes with quasi-hyperbolic discounting. (English) Zbl 1471.91310 Finance Stoch. 25, No. 2, 189-229 (2021). MSC: 91B62 91B70 90C40 91G10 91A25 91A80 PDFBibTeX XMLCite \textit{A. Jaśkiewicz} and \textit{A. S. Nowak}, Finance Stoch. 25, No. 2, 189--229 (2021; Zbl 1471.91310) Full Text: DOI
Avanesyan, Levon; Shkolnikov, Mykhaylo; Sircar, Ronnie Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder’s theorem. (English) Zbl 1454.35388 Finance Stoch. 24, No. 4, 981-1011 (2020). MSC: 35Q91 35K55 91G10 35J15 60H10 44A10 35R25 35P99 PDFBibTeX XMLCite \textit{L. Avanesyan} et al., Finance Stoch. 24, No. 4, 981--1011 (2020; Zbl 1454.35388) Full Text: DOI arXiv
Mostovyi, Oleksii; Sîrbu, Mihai Sensitivity analysis of the utility maximisation problem with respect to model perturbations. (English) Zbl 1465.91100 Finance Stoch. 23, No. 3, 595-640 (2019). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G10 93E20 91B16 60G44 PDFBibTeX XMLCite \textit{O. Mostovyi} and \textit{M. Sîrbu}, Finance Stoch. 23, No. 3, 595--640 (2019; Zbl 1465.91100) Full Text: DOI arXiv
Källblad, Sigrid Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals. (English) Zbl 1367.91165 Finance Stoch. 21, No. 2, 397-425 (2017). Reviewer: Gianluca Cassese (Milano) MSC: 91G10 PDFBibTeX XMLCite \textit{S. Källblad}, Finance Stoch. 21, No. 2, 397--425 (2017; Zbl 1367.91165) Full Text: DOI arXiv
De Vallière, Dimitri; Kabanov, Yuri; Lépinette, Emmanuel Consumption-investment problem with transaction costs for Lévy-driven price processes. (English) Zbl 1346.60101 Finance Stoch. 20, No. 3, 705-740 (2016). MSC: 60H30 60H10 60H20 49J55 49L20 49L25 93E20 60G51 60G44 91G80 PDFBibTeX XMLCite \textit{D. De Vallière} et al., Finance Stoch. 20, No. 3, 705--740 (2016; Zbl 1346.60101) Full Text: DOI arXiv
Mostovyi, Oleksii Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption. (English) Zbl 1309.91134 Finance Stoch. 19, No. 1, 135-159 (2015). Reviewer: Pavel Stoynov (Sofia) MSC: 91G10 60G48 93E20 PDFBibTeX XMLCite \textit{O. Mostovyi}, Finance Stoch. 19, No. 1, 135--159 (2015; Zbl 1309.91134) Full Text: DOI arXiv
Hillairet, Caroline; Jiao, Ying Portfolio optimization with insider’s initial information and counterparty risk. (English) Zbl 1307.91163 Finance Stoch. 19, No. 1, 109-134 (2015). MSC: 91G10 91G40 60H30 93E20 90C39 PDFBibTeX XMLCite \textit{C. Hillairet} and \textit{Y. Jiao}, Finance Stoch. 19, No. 1, 109--134 (2015; Zbl 1307.91163) Full Text: DOI arXiv
Bichuch, Maxim; Sturm, Stephan Portfolio optimization under convex incentive schemes. (English) Zbl 1360.91132 Finance Stoch. 18, No. 4, 873-915 (2014). Reviewer: Paweł Kliber (Poznan) MSC: 91G10 60H30 93E20 PDFBibTeX XMLCite \textit{M. Bichuch} and \textit{S. Sturm}, Finance Stoch. 18, No. 4, 873--915 (2014; Zbl 1360.91132) Full Text: DOI arXiv
Gerhold, Stefan; Guasoni, Paolo; Muhle-Karbe, Johannes; Schachermayer, Walter Transaction costs, trading volume, and the liquidity premium. (English) Zbl 1305.91218 Finance Stoch. 18, No. 1, 1-37 (2014). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91G10 PDFBibTeX XMLCite \textit{S. Gerhold} et al., Finance Stoch. 18, No. 1, 1--37 (2014; Zbl 1305.91218) Full Text: DOI arXiv Link
Kato, Takashi An optimal execution problem with market impact. (English) Zbl 1403.91344 Finance Stoch. 18, No. 3, 695-732 (2014). Reviewer: Tomáš Cipra (Praha) MSC: 91G20 91G80 93E20 49L20 49L25 PDFBibTeX XMLCite \textit{T. Kato}, Finance Stoch. 18, No. 3, 695--732 (2014; Zbl 1403.91344) Full Text: DOI arXiv
Bichuch, Maxim Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment. (English) Zbl 1303.91169 Finance Stoch. 18, No. 3, 651-694 (2014). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91G20 60H10 60H30 41A60 PDFBibTeX XMLCite \textit{M. Bichuch}, Finance Stoch. 18, No. 3, 651--694 (2014; Zbl 1303.91169) Full Text: DOI arXiv
Berdjane, Belkacem; Pergamenshchikov, Serguei Optimal consumption and investment for markets with random coefficients. (English) Zbl 1278.91127 Finance Stoch. 17, No. 2, 419-446 (2013). Reviewer: Tomáš Cipra (Praha) MSC: 91G10 91G80 90C39 93E20 PDFBibTeX XMLCite \textit{B. Berdjane} and \textit{S. Pergamenshchikov}, Finance Stoch. 17, No. 2, 419--446 (2013; Zbl 1278.91127) Full Text: DOI arXiv
Sekine, Jun Long-term optimal portfolios with floor. (English) Zbl 1251.91056 Finance Stoch. 16, No. 3, 369-401 (2012). MSC: 91G10 93E20 91G80 91G20 PDFBibTeX XMLCite \textit{J. Sekine}, Finance Stoch. 16, No. 3, 369--401 (2012; Zbl 1251.91056) Full Text: DOI
Di Giacinto, Marina; Federico, Salvatore; Gozzi, Fausto Pension funds with a minimum guarantee: a stochastic control approach. (English) Zbl 1303.91155 Finance Stoch. 15, No. 2, 297-342 (2011). MSC: 91G10 93E20 49L25 60H30 PDFBibTeX XMLCite \textit{M. Di Giacinto} et al., Finance Stoch. 15, No. 2, 297--342 (2011; Zbl 1303.91155) Full Text: DOI
Diesinger, Peter; Kraft, Holger; Seifried, Frank Asset allocation and liquidity breakdowns: what if your broker does not answer the phone? (English) Zbl 1226.91067 Finance Stoch. 14, No. 3, 343-374 (2010). MSC: 91G10 PDFBibTeX XMLCite \textit{P. Diesinger} et al., Finance Stoch. 14, No. 3, 343--374 (2010; Zbl 1226.91067) Full Text: DOI Link
Morlais, Marie-Amélie Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem. (English) Zbl 1199.91188 Finance Stoch. 13, No. 1, 121-150 (2009). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G10 91B16 60H10 49L20 PDFBibTeX XMLCite \textit{M.-A. Morlais}, Finance Stoch. 13, No. 1, 121--150 (2009; Zbl 1199.91188) Full Text: DOI arXiv
Schachermayer, Walter; Sîrbu, Mihai; Taffin, Erik In which financial markets do mutual fund theorems hold true? (English) Zbl 1199.91279 Finance Stoch. 13, No. 1, 49-77 (2009). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G80 91G20 91B16 91B70 PDFBibTeX XMLCite \textit{W. Schachermayer} et al., Finance Stoch. 13, No. 1, 49--77 (2009; Zbl 1199.91279) Full Text: DOI arXiv
Fischer, Tom Consumption processes and positively homogeneous projection properties. (English) Zbl 1164.91013 Finance Stoch. 12, No. 3, 357-380 (2008). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91B28 93E99 PDFBibTeX XMLCite \textit{T. Fischer}, Finance Stoch. 12, No. 3, 357--380 (2008; Zbl 1164.91013) Full Text: DOI arXiv
Elie, Romuald; Touzi, Nizar Optimal lifetime consumption and investment under a drawdown constraint. (English) Zbl 1164.91011 Finance Stoch. 12, No. 3, 299-330 (2008). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G10 35K55 60H30 PDFBibTeX XMLCite \textit{R. Elie} and \textit{N. Touzi}, Finance Stoch. 12, No. 3, 299--330 (2008; Zbl 1164.91011) Full Text: DOI Link