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pro vyhledávání: '"Sigrid Källblad"'
Autor:
Sigrid Källblad
Publikováno v:
The Annals of Applied Probability. 32
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4ec5ea334fe7182bda9c733639984641
https://doi.org/10.1214/21-aap1724
https://doi.org/10.1214/21-aap1724
Autor:
Sigrid Källblad
Publikováno v:
SIAM Journal on Financial Mathematics. 11:494-525
We study an inverse investment problem proposed by Black and provide necessary and sufficient conditions for a given function to be an admissible indirect utility function in a log-normal market; w...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b89b13d1d0153a19a85b58ddcad1ac4d
https://doi.org/10.1137/17m1143812
https://doi.org/10.1137/17m1143812
Publikováno v:
Annals of probability, 48(5), 2258-2289. Institute of Mathematical Statistics
Ann. Probab. 48, no. 5 (2020), 2258-2289
Ann. Probab. 48, no. 5 (2020), 2258-2289
In classical optimal transport, the contributions of Benamou-Brenier and McCann regarding the time-dependent version of the problem are cornerstones of the field and form the basis for a variety of applications in other mathematical areas. We suggest
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::92c2de902c1b2992eb91bfae1bfbfbd9
https://doi.org/10.1214/20-aop1422
https://doi.org/10.1214/20-aop1422
Publikováno v:
Finance and Stochastics. 22:879-918
We combine forward investment performance processes and ambiguity-averse portfolio selection. We introduce robust forward criteria which address ambiguity in the specification of the model, the risk preferences and the investment horizon. They encode
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::044d2b7ff852e35c6b9b68ebd06ba72c
https://doi.org/10.1007/s00780-018-0368-4
https://doi.org/10.1007/s00780-018-0368-4
Autor:
Alexander M. G. Cox, Sigrid Källblad
Publikováno v:
Cox, A & Källblad, S 2017, ' Model-independent bounds for Asian options : A dynamic programming approach ', SIAM Journal on Control and Optimization, vol. 55, no. 6, pp. 3409–3436 . https://doi.org/10.1137/16M1087527
We consider the problem of finding model-independent bounds on the price of an Asian option, when the call prices at the maturity date of the option are known. Our methods differ from most approaches to model-independent pricing in that we consider t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5da9d9f65e9a2087ad3b2eb090e9ea86
https://doi.org/10.1137/16m1087527
https://doi.org/10.1137/16m1087527
Publikováno v:
Ann. Appl. Probab. 27, no. 2 (2017), 686-719
We consider the optimal Skorokhod embedding problem (SEP) given full marginals over the time interval $[0,1]$. The problem is related to the study of extremal martingales associated with a peacock (“process increasing in convex order,” by Hirsch,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7ec0e0d9063422d9c15c9e734474e337
http://projecteuclid.org/euclid.aoap/1495764364
http://projecteuclid.org/euclid.aoap/1495764364
Autor:
Sigrid Källblad
The study of expected utility maximization in continuous-time stochastic market models dates back to the seminal work of Merton 1969 and has since been central to the area of Mathematical Finance. The associated stochastic optimization problems have
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2586874f0735c27292524bf435f57595
https://ora.ox.ac.uk/objects/uuid:3593bc59-594e-4feb-a20a-c18b75c9b8bc
https://ora.ox.ac.uk/objects/uuid:3593bc59-594e-4feb-a20a-c18b75c9b8bc
Autor:
Sigrid Källblad
Publikováno v:
SSRN Electronic Journal.
We consider the problem of optimal portfolio selection using forward investment and consumption criteria. Such criteria were introduced in and allow the investor to consider utility from both investment and consumption also when investing over unspec
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e711ca064133b07998a5791b7ec2ba34
https://doi.org/10.2139/ssrn.2779188
https://doi.org/10.2139/ssrn.2779188
Autor:
Sigrid Källblad
Motivated by recent axiomatic developments, we study the risk- and ambiguity-averse investment problem where trading takes place in continuous time over a fixed finite horizon and terminal payoffs are evaluated according to criteria defined in terms
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0cf5c727873b9022620a106d7ce3efb2
http://arxiv.org/abs/1311.7419
http://arxiv.org/abs/1311.7419
Autor:
Sigrid Källblad, Thaleia Zariphopoulou
Publikováno v:
SSRN Electronic Journal.
We provide a concise study of the qualitative behavior of the optimal investment feedback policies and optimal weights, and of the local (absolute and relative) risk tolerance/risk aversion functions in a log-normal market model. We examine their spa
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::058f499ff6e6624699288f7f737bb9f4
https://doi.org/10.2139/ssrn.2373587
https://doi.org/10.2139/ssrn.2373587