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Schweizer, Martin's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
501 |
Total
Citations
52 |
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1.
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Fontana, Claudio
INRIA Paris - Rocquencourt Schweizer, Martin
Swiss Federal Institute of Technology Zurich - Department of Mathematics
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18 Jan 12
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Last Revised:
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13 Jun 12
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215
(70,259)
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mean-variance, portfolio choice, hedging, indifference valuation, Markowitz problem, two-fund separation, no approximate profits, minimum variance, Sharpe ratio
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2.
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Jeanblanc, Monique
Université d'Évry - Departement de Mathematiques Mania, Michael
Georgian American University Santacroce, Marina
Polytechnic University of Turin Schweizer, Martin
Swiss Federal Institute of Technology Zurich - Department of Mathematics
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24 Dec 11
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Last Revised:
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13 Jun 12
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99
(137,501)
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mean-variance hedging, stochastic control, backward stochastic differential equations, semimartingales, mathematical finance, variance-optimal martingale measure
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3.
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Czichowsky, Christoph
affiliation not provided to SSRN Schweizer, Martin
Swiss Federal Institute of Technology Zurich - Department of Mathematics
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50
(202,445)
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Markowitz problem, cone constraints, portfolio selection, mean-variance, hedging, stochastic control, semimartingales, BSDEs, martingale optimality principle, opportunity process, E-martingales, linear-quadratic control
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4.
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Choulli, Tahir
University of Alberta - Department of Mathematical and Statistical Sciences Schweizer, Martin
Swiss Federal Institute of Technology Zurich - Department of Mathematics
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37
(228,571)
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sigma-martingale, equivalent martingale measures, Jacod decomposition, mathematical finance
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5.
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Klöppel, Susanne
Swiss Federal Institute of Technology Zurich Schweizer, Martin
Swiss Federal Institute of Technology Zurich - Department of Mathematics
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28
(251,350)
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14
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6.
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Czichowsky, Christoph
affiliation not provided to SSRN Schweizer, Martin
Swiss Federal Institute of Technology Zurich - Department of Mathematics
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16 Jun 12
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Last Revised:
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19 Jun 12
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27
(254,349)
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mean-variance hedging, constraints, stochastic integrals, convex duality
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7.
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Delbaen, Freddy
Swiss Federal Institute of Technology at Zurich Grandits, Peter
Technische Universitat Wien Rheinlander, Thorsten
Eidgenossische Technische Hochschule Zurich (ETHZ) Samperi, Dominick J.
Decision Synergy Schweizer, Martin
Swiss Federal Institute of Technology Zurich - Department of Mathematics Stricker, Christopher
Université de Franche-Comté - Laboratoire de Mathematiques
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23
(267,410)
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25
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Hedging, exponential utility, relative entropy, duality, minimal martingale measure, minimal entropy martingale measure, reverse Holder inequalities
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8.
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Schweizer, Martin
Swiss Federal Institute of Technology Zurich - Department of Mathematics Wissel, Johannes
Cornell University - School of Operations Research and Industrial Engineering
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22
(270,809)
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13
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9.
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Doberlein, Frank
Deutsche Bank AG - Global Markets Schweizer, Martin
Swiss Federal Institute of Technology Zurich - Department of Mathematics Stricker, Christopher
Université de Franche-Comté - Laboratoire de Mathematiques
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Term structure models, implied savings account, Doob-Meyer decomposition, semimartingales, multiplicative decomposition
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10.
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Delbaen, Freddy
Swiss Federal Institute of Technology at Zurich Ura, Pascale Monat
Besancon at France Schachermayer, Walter
Vienna University of Technology Schweizer, Martin
Swiss Federal Institute of Technology Zurich - Department of Mathematics Ura, Christophe Stricker
Besancon at France
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Records 1 -
10
of 10 matches
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