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Journal of Probability and Statistics
Volume 2015, Article ID 581854, 6 pages
Research Article

Kim and Omberg Revisited: The Duality Approach

1Department of Finance and IGIER, Bocconi University, Via Röntgen 1, 20136 Milan, Italy
2Department of Economics, University of Parma, Via Kennedy 6, 43125 Parma, Italy
3Department of Mathematical Sciences, Mathematical Finance and Econometrics, Catholic University of Milan, Via Necchi 9, 20123 Milan, Italy

Received 12 June 2015; Accepted 2 August 2015

Academic Editor: Zacharias Psaradakis

Copyright © 2015 Anna Battauz et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Citations to this Article [3 citations]

The following is the list of published articles that have cited the current article.

  • Huy N. Chau, and Miklós Rásonyi, “On optimal investment with processes of long or negative memory,” Stochastic Processes and their Applications, 2017. View at Publisher · View at Google Scholar
  • Anna Battauz, Marzia De Donno, and Alessandro Sbuelz, “Reaching nirvana with a defaultable asset?,” Decisions in Economics and Finance, 2017. View at Publisher · View at Google Scholar
  • Alessandro Sbuelz, “Dynamic asset allocation with default and systemic risks,” International Series in Operations Research and Management Science, vol. 257, pp. 241–250, 2018. View at Publisher · View at Google Scholar