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Affine processes
1
Behavioural optimal portfolio choice
1
CAPM
1
Choquet integral
1
Continuous-time equilibrium
1
Continuous-time financial markets
1
Continuous-time markets
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Derivative pricing
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Exponential utility
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Financial equilibrium
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Implied volatility
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Information-based asset pricing
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Lévy process
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Nonstandard analysis
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Probability distortion
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Representative-agent models
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S-shaped utility (value) function
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Herzberg, Frederik
1
Horst, Ulrich
1
Kupper, Michael
1
Macrina, Andrea
1
Mainberger, Christoph
1
Rodrigues, Andrea
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Rásonyi, Miklós
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Annals of Finance
Physica A: Statistical Mechanics and its Applications
33
Quantitative Finance
13
Computational Statistics
11
European journal of operational research : EJOR
11
Mathematical Methods of Operations Research
11
Journal of econometrics
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Journal of economic theory
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Statistical Inference for Stochastic Processes
9
Statistics & Probability Letters
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Journal of economic dynamics & control
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Games and economic behavior
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International Journal of Theoretical and Applied Finance (IJTAF)
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CEPR Discussion Papers
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Computers & operations research : and their applications to problems of world concern ; an international journal
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European Journal of Operational Research
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Journal of mathematical economics
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Stochastic Processes and their Applications
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Finance and Stochastics
5
International journal of production research
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Mathematics and Computers in Simulation (MATCOM)
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Dynamic Games and Applications
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Insurance / Mathematics & economics
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Insurance: Mathematics and Economics
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Journal of Economic Dynamics and Control
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Journal of Economic Theory
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Journal of economic behavior & organization : JEBO
4
Journal of empirical finance
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Mathematical methods of operations research : ZOR
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Mathematics of operations research
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Operations research letters
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Annals of finance
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Applied Mathematical Finance
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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Continuous equilibrium in affine and information-based capital asset pricing models
Horst, Ulrich
;
Kupper, Michael
;
Macrina, Andrea
; …
- In:
Annals of Finance
9
(
2013
)
4
,
pp. 725-755
We consider a class of generalized capital asset pricing models in
continuous
time
with a finite number of agents and …
Persistent link: https://www.econbiz.de/10010866522
Saved in:
2
First steps towards an equilibrium theory for Lévy financial markets
Herzberg, Frederik
- In:
Annals of Finance
9
(
2013
)
3
,
pp. 543-572
For a
continuous-time
financial market with a single agent, we establish equilibrium pricing formulae under the …
Persistent link: https://www.econbiz.de/10010866549
Saved in:
3
Optimal portfolio choice for a behavioural investor in
continuous-time
markets
Rásonyi, Miklós
;
Rodrigues, Andrea
- In:
Annals of Finance
9
(
2013
)
2
,
pp. 291-318
preference towards risk is described by both a probability distortion and an S-shaped utility function. Within a
continuous-time
…
Persistent link: https://www.econbiz.de/10010989116
Saved in:
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