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Results: 1-7 |
Results: 7
Generalized Neyman-Pearson lemma via convex duality
Authors: Cvitanic, J Karatzas, I
Citation: J. Cvitanic et I. Karatzas, Generalized Neyman-Pearson lemma via convex duality, BERNOULLI, 7(1), 2001, pp. 79-97
On optimal terminal wealth under transaction costs
Authors: Cvitanic, J Wang, H
Citation: J. Cvitanic et H. Wang, On optimal terminal wealth under transaction costs, J MATH ECON, 35(2), 2001, pp. 223-231
Theory of portfolio optimization in markets with frictions
Authors: Cvitanic, J
Citation: J. Cvitanic, Theory of portfolio optimization in markets with frictions, HANDBOOKS IN MATHEMATICAL FINANCE: OPTION PRICING, INTEREST RATES AND RISKMANAGEMENT, 2001, pp. 577-631
Minimizing expected loss of hedging in incomplete and constrained markets
Authors: Cvitanic, J
Citation: J. Cvitanic, Minimizing expected loss of hedging in incomplete and constrained markets, SIAM J CON, 38(4), 2000, pp. 1050-1066
Mathematics of financial markets.
Authors: Cvitanic, J
Citation: J. Cvitanic, Mathematics of financial markets., J FINANCE, 55(2), 2000, pp. 995-996
Maximizing the probability of a perfect hedge
Authors: Spivak, G Cvitanic, J
Citation: G. Spivak et J. Cvitanic, Maximizing the probability of a perfect hedge, ANN APPL PR, 9(4), 1999, pp. 1303-1328
Backward stochastic differential equations with constraints on the gains-process
Authors: Cvitanic, J Karatzas, I Soner, HM
Citation: J. Cvitanic et al., Backward stochastic differential equations with constraints on the gains-process, ANN PROBAB, 26(4), 1998, pp. 1522-1551
Risultati: 1-7 |