Patrimony

The Louis Bachelier Group's patrimony has been defined as all the publications produced by academic researchers thanks to Group funding (ILB, FdR, IEF, Labex) or via the use of EquipEx data (BEDOFIH, EUROFIDAI).


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Non-linear filtering and optimal investment under partial information for stochastic volatility models.

Kushner-Stratonovich equations, Martingale duality method, Non-linear filtering, Partial information, Semilinear partial differential equation, Stochastic volatility, Utility maximization

Non-linear filtering and optimal investment under partial information for stochastic volatility models.

Kushner-Stratonovich equations, Martingale duality method, Non-linear filtering, Partial information, Semilinear partial differential equation, Stochastic volatility, Utility maximization

Filtering problem for general modeling of the drift and application to portfolio optimization problems.

Filtering problem, Kushner-stratonovich equation, Martingale duality method, Partial information, Pathwise density approach, Utility maximization

Optimal asset allocation subject to withdrawal risk and solvency constraints.

Asset allocation, Asset-liability management, Liquidity risk, Utility maximization, Withdrawal risk

Efficient portfolios in financial markets with proportional transaction costs.

Cyclic anticomonotonicity, Duality, Proportional transaction costs, Utility maximization, Utility price

Utility maximization with proportional transaction costs under model uncertainty.

Convex duality, Model uncertainty, Randomization method, Transaction costs, Utility indifference pricing, Utility maximization

Utility Maximization with Proportional Transaction Costs Under Model Uncertainty.

Convex duality, Model uncertainty, Randomization method, Transaction costs, Utility indifference pricing, Utility maximization