Optimal investment and price dependence in a semi-static market
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References listed on IDEAS
- Pietro Siorpaes, 2012. "Optimal Investment with Stocks and Derivatives," Papers 1210.5466, arXiv.org, revised Oct 2013.
- Kasper Larsen, 2009. "Continuity Of Utility-Maximization With Respect To Preferences," Mathematical Finance, Wiley Blackwell, vol. 19(2), pages 237-250.
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- Erhan Bayraktar & Gu Wang, 2018.
"Quantile Hedging in a semi-static market with model uncertainty,"
Mathematical Methods of Operations Research,
Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 87(2), pages 197-227, April.
- Erhan Bayraktar & Gu Wang, 2014. "Quantile Hedging in a Semi-Static Market with Model Uncertainty," Papers 1408.4848, arXiv.org, revised Sep 2017.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-03-09 (All new papers)
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