Jesper Lund Pedersen

Associate Professor

ORCID: 0000-0003-2308-5548

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Optimal mean-variance portfolio selection
Pedersen, Jesper Lund & Peskir, G., 2017, In: Mathematics and Financial Economics. 11, 2, p. 137–160
Research output: Contribution to journal › Journal article › Research › peer-review
Published
Optimal prediction of the ultimate maximum of Brownian motion
Pedersen, Jesper Lund, 2003, In: Stochastics: An International Journal of Probability and Stochastic Processes . 75, 4, p. 205-219
Research output: Contribution to journal › Journal article › Research › peer-review
Published
Explicit solutions to some optimal variance stopping problems
Pedersen, Jesper Lund, 2011, In: Stochastics: An International Journal of Probability and Stochastic Processes . 83, 4–6, p. 505–518 14 p.
Research output: Contribution to journal › Journal article › Research › peer-review
Published
Optimal stopping problems for time-homogeneous diffusions: a review
Pedersen, Jesper Lund, 2005, Recent Advances in Applied Probability. Springer, p. 427-454
Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
Published
Optimal mean–variance selling strategies
Pedersen, Jesper Lund & Peskir, G., 2016, In: Mathematics and Financial Economics. 10, 2, p. 203-220
Research output: Contribution to journal › Journal article › Research › peer-review

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ID: 3491

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Optimal mean-variance portfolio selection
Research output: Contribution to journal › Journal article › Research › peer-review
Published
163 downloads
Rationality Parameter for Exercising American Put
Research output: Contribution to journal › Journal article › Research › peer-review
Published