Author of the publication

Monte Carlo computation of optimal portfolios in complete markets

, , and . Journal of Economic Dynamics and Control, 27 (6): 971--986 (April 2003)

Please choose a person to relate this publication to

To differ between persons with the same name, the academic degree and the title of an important publication will be displayed. You can also use the button next to the name to display some publications already assigned to the person.

 

Other publications of authors with the same name

Equilibrium asset prices and exchange rates. Journal of Economic Dynamics and Control, 19 (4): 787--811 (May 1995)Problems with Monte Carlo simulation in the pricing of contingent claims., and . CIFEr, page 114-119. IEEE, (1996)Leverage decision and manager compensation with choice of effort and volatility, , and . Journal of Financial Economics, 73 (1): 71--92 (July 2004)Monte Carlo computation of optimal portfolios in complete markets, , and . Journal of Economic Dynamics and Control, 27 (6): 971--986 (April 2003)Exchange rate intervention with options, and . Journal of International Money and Finance, 22 (2): 289--306 (April 2003)Introduction to the economics and mathematics of financial markets, and . MIT Press, Cambridge, Mass. u.a., (2004)Effects of financial innovations on market volatility when beliefs are heterogeneous. Journal of Economic Dynamics and Control, 22 (4): 597--626 (April 1998)Optimal risk-sharing with effort and project choice., , and . J. Econ. Theory, 133 (1): 403-440 (2007)Problems in financial engineering: optimal active management fees., , and . WSC, page 1555-1559. WSC, (2002)