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q-fin.MF2023
Worst-Case Optimal Investment in Incomplete Markets
Sascha Desmettre, Sebastian Merkel, Annalena Mickel +1
We study and solve the worst-case optimal portfolio problem as pioneered by Korn and Wilmott (2002) of an investor with logarithmic preferences facing the possibility of a market c…
math.NA2023
On the convergence order of the Euler scheme for scalar SDEs with Hölder-type diffusion coefficients
Annalena Mickel, Andreas Neuenkirch
We study the Euler scheme for scalar non-autonomous stochastic differential equations, whose diffusion coefficient is not globally Lipschitz but a fractional power of a globally Li…