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$F$-divergence minimal equivalent martingale measures and optimal portfolios for exponential Levy models with a change-point

Economy – Quantitative Finance – Portfolio Management
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A Comparative Anatomy of REITs and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics

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A Convex Stochastic Optimization Problem Arising from Portfolio Selection

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A Goal Programming Model for Optimal Portfolio Diversification

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A note on evolutionary stochastic portfolio optimization and probabilistic constraints

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A Note on Sparse Minimum Variance Portfolios and Coordinate-Wise Descent Algorithms

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A policyholder's utility indifference valuation model for the guaranteed annuity option

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A Risk-Sensitive Portfolio Optimization Problem with Fixed Incomes Securities

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A simple algorithm based on fluctuations to play the market

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A simplified Capital Asset Pricing Model

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A stochastic reachability approach to portfolio construction in finance industry

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A time before which insiders would not undertake risk

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Abstract, Classic, and Explicit Turnpikes

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Additive habit formation: Consumption in incomplete markets with random endowments

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Additive habits with power utility: Estimates, asymptotics and equilibrium

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Adjusted Closing Prices

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An analytical performance comparison of exchanged traded funds with index funds: 2002-2010

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An Econophysics Model for the Currency Exchange with Commission

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An explicit solution for an optimal stopping/optimal control problem which models an asset sale

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An optimal life insurance policy in the investment-consumption problem in an incomplete market

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