Economy – Quantitative Finance – Portfolio Management
Scientist
Economy
Quantitative Finance
Portfolio Management
Scientist
In which Financial Markets do Mutual Fund Theorems hold true?
Optimal investment on finite horizon with random discrete order flow in illiquid markets
Shadow prices and well-posedness in the problem of optimal investment and consumption with transaction costs
Stochastic Perron's method and verification without smoothness using viscosity comparison: obstacle problems and Dynkin games
Stochatic Perron's method and verification without smoothness using viscosity comparison: the linear case
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