Ausgabe 2/2013
Inhalt (7 Artikel)
Time-consistent mean-variance portfolio selection in discrete and continuous time
Christoph Czichowsky
Discretely sampled variance and volatility swaps versus their continuous approximations
Robert Jarrow, Younes Kchia, Martin Larsson, Philip Protter
The dual optimizer for the growth-optimal portfolio under transaction costs
S. Gerhold, J. Muhle-Karbe, W. Schachermayer
Exercise boundary of the American put near maturity in an exponential Lévy model
Damien Lamberton, Mohammed Adam Mikou
Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities
Ruodu Wang, Liang Peng, Jingping Yang
Optimal consumption and investment for markets with random coefficients
Belkacem Berdjane, Serguei Pergamenshchikov