Optimal selling rules for monetary invariant criteria : tracking the maximum of a portfolio with negative drift
Year of publication: |
2015
|
---|---|
Authors: | Elie, Romuald ; Espinosa, Gilles-Eduard |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 25.2015, 4, p. 754-788
|
Subject: | optimal stopping | optimal prediction | running maximum | free boundary partial differential equation | verification | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Suchtheorie | Search theory | Analysis | Mathematical analysis |
-
Infinite horizon stochastic impulse control with delay and random coefficients
Djehiche, Boualem, (2022)
-
Optimal investment decision under switching regimes of subsidy support
Oliveira, Carlos, (2020)
-
Optimal dxecution with multiplicative price impact and incomplete information on the return
Dammann, Felix, (2022)
- More ...
-
Optimal claiming strategies in Bonus Malus systems and implied Markov chains
Charpentier, Arthur, (2017)
-
Optimal lifetime consumption and investment under a drawdown constraint
Elie, Romuald, (2008)
-
When terminal facelift enforces delta constraints
Chassagneux, Jean-François, (2015)
- More ...