Jump-Diffusion Risk-Sensitive Asset Management
Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model
Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model
La prime de risque dans un cadre international : le risque de change est-il apprécié ?
Long Horizons, High Risk Aversion, and Endogeneous Spreads
Look-Ahead Benchmark Bias in Portfolio Performance Evaluation
Managing Derivative Exposure
Market behavior and performance of different strategy evaluation schemes
Market selection with learning and catching up with the Joneses
Maximizing the Growth Rate under Risk Constraints
Measuring Portfolio Diversification
Minimizing Shortfall
Minimizing the expected market time to reach a certain wealth level
Minimizing the Probability of Lifetime Ruin under Stochastic Volatility
Monte Carlo Portfolio Optimization for General Investor Risk-Return Objectives and Arbitrary Return Distributions: a Solution for Long-only Portfolios
Multicurrency advisor based on the NSW model. Detailed description and perspectives
Multiple defaults and contagion risks
Multiplicative approximation of wealth processes involving no-short-sale strategies via simple trading
Mutual Fund Theorem for continuous time markets with random coefficients
Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption