Zobrazeno 1 - 10
of 90
pro vyhledávání: '"H. Mete. Soner"'
Publikováno v:
Management Science. 69:2517-2535
Although leveraged exchange-traded funds (ETFs) are popular products for retail investors, how to hedge them poses a great challenge to financial institutions. We develop an optimal rebalancing (hedging) model for leveraged ETFs in a comprehensive se
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::df5daea2081944564722680d5a2bd373
https://doi.org/10.1287/mnsc.2022.4407
https://doi.org/10.1287/mnsc.2022.4407
Publikováno v:
Digital Finance. 5:91-111
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7f5bb6479775c5ce9f957a2c9040358c
https://doi.org/10.1007/s42521-022-00074-6
https://doi.org/10.1007/s42521-022-00074-6
Akademický článek
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Publikováno v:
SSRN Electronic Journal.
Although leveraged ETFs are popular products for retail investors, how to hedge them poses a great challenge to financial institutions. We develop an optimal rebalancing (hedging) model for leveraged ETFs in a comprehensive setting, including overnig
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0deea19f444038a9c06e94d131741654
https://doi.org/10.2139/ssrn.3856573
https://doi.org/10.2139/ssrn.3856573
Publikováno v:
PUB-Publications at Bielefeld University
We reconsider the microeconomic foundations of financial economics. Motivated by the importance of Knightian Uncertainty in markets, we present a model that does not carry any probabilistic structure ex ante, yet is based on a common order. We derive
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::dad8fb7a0b3fd257fe18ebb2e9623b6f
https://pub.uni-bielefeld.de/record/2955362
https://pub.uni-bielefeld.de/record/2955362
Publikováno v:
Mathematical Finance
Mathematical Finance, 2020, 30 (1), pp.228-259. ⟨10.1111/mafi.12223⟩
Mathematical Finance, 30 (1)
Mathematical Finance, 2020, 30 (1), pp.228-259. ⟨10.1111/mafi.12223⟩
Mathematical Finance, 30 (1)
National audience; We study an optimal dividend problem under a bankruptcy constraint. Firms face a tradeâ€�off between potential bankruptcy and extraction of profits. In contrast to previous works, general cash flow drifts, including Ornsteinâ
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::051210b054f39017c80485291836b817
https://hal.archives-ouvertes.fr/hal-02929766/file/optimal_dividend.pdf
https://hal.archives-ouvertes.fr/hal-02929766/file/optimal_dividend.pdf
Publikováno v:
SIAM Journal on Control and Optimization. 55:1673-1710
The classical optimal investment and consumption problem with infinite horizon is studied in the presence of transaction costs. Both proportional and fixed costs as well as general utility functions are considered. Weak dynamic programming is proved
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::620c03e13eb35cf06b60004e4d6ae845
https://doi.org/10.1137/15m1053633
https://doi.org/10.1137/15m1053633
Publikováno v:
Journal of Optimization Theory and Applications. 179:363-365
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7483c4ce09c5be43a56fdcc0adffc3dc
https://doi.org/10.1007/s10957-018-1409-z
https://doi.org/10.1007/s10957-018-1409-z
Publikováno v:
Mathematische Annalen, 379 (3-4)
We obtain a dual representation of the Kantorovich functional defined for functions on the Skorokhod space using quotient sets. Our representation takes the form of a Choquet capacity generated by martingale measures satisfying additional constraints
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d5fa76677636cf425ec56b72da151bed
Autor:
H. Mete Soner, Mirjana Vukelja
Publikováno v:
Mathematical Methods in Operations Research
A utility maximization problem in an illiquid market is studied. The financial market is assumed to have temporary price impact with finite resilience. After the formulation of this problem as a Markovian stochastic optimal control problem a dynamic
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cb78e3909fa9d508dc9c9e371f3070a2