1 citations · 1 across the 3 of their papers we have counts for
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Acceptability maximization
Gabriela Kováčová, Birgit Rudloff, Igor Cialenco
The aim of this paper is to study the optimal investment problem by using coherent acceptability indices (CAIs) as a tool to measure the portfolio performance. We call this problem…
Robust no arbitrage and the solvability of vector-valued utility maximization problems
Andreas H Hamel, Birgit Rudloff, Zhou Zhou
A market model with assets in discrete time is considered where trades are subject to proportional transaction costs given via bid-ask spreads, while the existence of a numèrai…
Time consistency of the mean-risk problem
Gabriela Kováčová, Birgit Rudloff
Choosing a portfolio of risky assets over time that maximizes the expected return at the same time as it minimizes portfolio risk is a classical problem in Mathematical Finance and…
Convex Hedging in Incomplete Markets
Birgit Rudloff
In incomplete financial markets not every contingent claim can be replicated by a self-financing strategy. The risk of the resulting shortfall can be measured by convex risk measur…