[LLIBRE][B] Mathematical finance
E Eberlein, J Kallsen - 2019 - Springer
Ernst Eberlein Jan Kallsen Page 1 Springer Finance Ernst Eberlein Jan Kallsen Mathematical
Finance Page 2 Springer Finance Editorial Board Marco Avellaneda Giovanni Barone-Adesi …
Finance Page 2 Springer Finance Editorial Board Marco Avellaneda Giovanni Barone-Adesi …
The robust Merton problem of an ambiguity averse investor
We derive a closed form portfolio optimization rule for an investor who is diffident about
mean return and volatility estimates, and has a CRRA utility. Confidence is here represented …
mean return and volatility estimates, and has a CRRA utility. Confidence is here represented …
Minimizing the probability of lifetime ruin under ambiguity aversion
E Bayraktar, Y Zhang - SIAM Journal on Control and Optimization, 2015 - SIAM
We determine the optimal robust investment strategy of an individual who targets at a given
rate of consumption and seeks to minimize the probability of lifetime ruin when she does not …
rate of consumption and seeks to minimize the probability of lifetime ruin when she does not …
[HTML][HTML] Pricing and hedging in incomplete markets with model uncertainty
We search for a trading strategy and the associated robust price of unhedgeable assets in
incomplete markets under the acknowledgement of model uncertainty. Our set-up is that we …
incomplete markets under the acknowledgement of model uncertainty. Our set-up is that we …
[LLIBRE][B] Stochastic analysis for finance with simulations
GH Choe - 2016 - Springer
This book is an introduction to stochastic analysis and quantitative finance, including
theoretical and computational methods, for advanced undergraduate and graduate students …
theoretical and computational methods, for advanced undergraduate and graduate students …
Optimal investment and consumption under a habit-formation constraint
We formulate an infinite-horizon optimal investment and consumption problem, in which an
individual forms a habit based on the exponentially weighted average of her past …
individual forms a habit based on the exponentially weighted average of her past …
Optimal liquidation of an asset under drift uncertainty
We study a problem of finding an optimal stop** strategy to liquidate an asset with
unknown drift. Taking a Bayesian approach, we model the initial beliefs of an individual …
unknown drift. Taking a Bayesian approach, we model the initial beliefs of an individual …
Robust utility maximization under model uncertainty via a penalization approach
This paper addresses the problem of utility maximization under uncertain parameters. In
contrast with the classical approach, where the parameters of the model evolve freely within …
contrast with the classical approach, where the parameters of the model evolve freely within …
Perturbation analysis for investment portfolios under partial information with expert opinions
We analyze the Merton portfolio optimization problem when the growth rate is an
unobserved Gaussian process whose level is estimated by filtering from observations of the …
unobserved Gaussian process whose level is estimated by filtering from observations of the …
Stochastic portfolio theory: A machine learning perspective
YLK Samo, A Vervuurt - arxiv preprint arxiv:1605.02654, 2016 - arxiv.org
In this paper we propose a novel application of Gaussian processes (GPs) to financial asset
allocation. Our approach is deeply rooted in Stochastic Portfolio Theory (SPT), a stochastic …
allocation. Our approach is deeply rooted in Stochastic Portfolio Theory (SPT), a stochastic …