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Annals of Finance

Annals of Finance OnlineFirst articles

26.05.2020 | Research Article Open Access

Fundamental Theorem of Asset Pricing under fixed and proportional transaction costs

We show that the absence of arbitrage in a model with both fixed and proportional transaction costs is equivalent to the existence of a family of absolutely continuous single-step probability measures, together with an adapted process with values …

20.05.2020 | Research Article

Optimal compensation and investment affected by firm size and time-varying external factors

We investigate a continuous dynamic model associated with a firm size term and with an external factor term, which possesses the following peculiarities: the drift term is dominated by the principal’s investment strategy and the agent’s effort; …

08.04.2020 | Research Article

Proper measures of connectedness

The concept of connectedness has been widely used in financial applications, in particular for systemic risk detection. Despite its popularity, at the state of the art, a rigorous definition of connectedness is still missing. In this paper we …

08.04.2020 | Research Article Open Access

Leakage of rank-dependent functionally generated trading strategies

This paper investigates the so-called leakage effect of trading strategies generated functionally from rank-dependent portfolio generating functions. This effect measures the loss in wealth of trading strategies due to renewing the portfolio …

02.03.2020 | Research Article

Relative growth optimal strategies in an asset market game

We consider a game-theoretic model of a market where investors compete for payoffs yielded by several assets. The main result consists in a proof of the existence and uniqueness of a strategy, called relative growth optimal, such that the …

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Annals of Finance will, different from existing journals, cover all aspects of finance in one journal. In this way, the journal is different from the competition.
The purpose of Annals of Finance is to provide an outlet for original research in all areas of finance and its applications to other disciplines having a clear and substantive link to the general theme of finance. In particular, innovative research papers of moderate length of the highest quality in all scientific areas that are motivated by the analysis of financial problems will be considered. Annals of Finance's scope encompasses - but is not limited to - the following areas: accounting and finance, asset pricing, banking and finance, capital markets and finance, computational finance, corporate finance, derivatives, dynamical and chaotic systems in finance, economics and finance, empirical finance, experimental finance, finance and the theory of the firm, financial econometrics, financial institutions, mathematical finance, money and finance, portfolio analysis, regulation, stochastic analysis and finance, stock market analysis, systemic risk and financial stability.

Annals of Finance will also publish special issues on any topic in finance and its applications of current interest. A small section, entitled finance notes, will be devoted solely to publishing short articles – up to ten pages in length, of substantial interest in finance.

Officially cited as: Ann Finance

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