Journal: Mathematical Finance

Found 4 papers in total
Merton's portfolio optimization problem in a Black and Scholes market with non-Gaussian stochastic volatility of Ornstein–Uhlenbeck type
Merton's portfolio optimization problem in a Black and Scholes market with non-Gaussian stochastic volatility of Ornstein–Uhlenbeck type
2003,
We study Merton's classical portfolio optimization problem for an investor who can...
Efficient universal portfolios for past-dependent target classes
Efficient universal portfolios for past-dependent target classes
2003,
We present a new universal portfolio algorithm that achieves almost the same level of...
An optimal strategy for hedging with short-term futures contracts
An optimal strategy for hedging with short-term futures contracts
2003,
The search for an optimal strategy to reduce the running risk in hedging a long-term...
Coherent measures of risk
Coherent measures of risk
1999,
In this paper we study both market risks and nonmarket risks, without complete markets...
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