Issue 1/2019
Content (7 Articles)
A two-dimensional control problem arising from dynamic contracting theory
Jean-Paul Décamps, Stéphane Villeneuve
Utility maximisation in a factor model with constant and proportional transaction costs
Christoph Belak, Sören Christensen
A paradox in time-consistency in the mean–variance problem?
Alain Bensoussan, Kwok Chuen Wong, Sheung Chi Phillip Yam
Minimax theorems for American options without time-consistency
Denis Belomestny, Tobias Hübner, Volker Krätschmer, Sascha Nolte
Open Access
An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
Wing Fung Chong, Ying Hu, Gechun Liang, Thaleia Zariphopoulou