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Search: subject:"martingale method"
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Martingale method
25
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martingale method
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ECONIS (ZBW)
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Optimal management of DC pension fund under the relative performance ratio and VaR constraint
Guan, Guohui
;
Liang, Zongxia
;
Xia, Yi
- In:
European journal of operational research : EJOR
305
(
2023
)
2
,
pp. 868-886
Persistent link: https://www.econbiz.de/10013479338
Saved in:
2
Annuity and insurance choice under habit formation
Boyle, Phelim P.
;
Tan, Ken Seng
;
Wei, Pengyu
;
Zhuang, …
- In:
Insurance / Mathematics & economics
105
(
2022
),
pp. 211-237
Persistent link: https://www.econbiz.de/10013349013
Saved in:
3
Dynamic portfolio strategy by loss-averse fund managers facing performance-induced fund flows
Sheng, Jiliang
;
Xu, Si
;
An, Yunbi
;
Yang, Jun
- In:
International review of financial analysis
73
(
2021
),
pp. 1-24
Persistent link: https://www.econbiz.de/10012803449
Saved in:
4
Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics
Junca, Mauricio
;
Serrano, Rafael
- In:
Mathematics and financial economics
15
(
2021
)
4
,
pp. 775-809
Persistent link: https://www.econbiz.de/10012616858
Saved in:
5
Optimal life-cycle consumption and investment decisions under age-dependent risk preferences
Lichtenstern, Andreas
;
Shevchenko, Pavel V.
;
Zagst, Rudi
- In:
Mathematics and financial economics
15
(
2021
)
2
,
pp. 275-313
Persistent link: https://www.econbiz.de/10012500025
Saved in:
6
Suboptimal investment behavior and welfare costs : a simulation based approach
Castañeda, Pablo
;
Reus, Lorenzo
- In:
Finance research letters
30
(
2019
),
pp. 170-180
Persistent link: https://www.econbiz.de/10012420392
Saved in:
7
Stochastic utilities with subsistence and satiation : optimal life insurance purchase, consumption and investment
Ye, Jinchun
- In:
Insurance / Mathematics & economics
89
(
2019
),
pp. 193-212
Persistent link: https://www.econbiz.de/10012133531
Saved in:
8
The effects of pre-/post-retirement downside consumption constraints on optimal consumption, portfolio, and retirement
Lim, Byung Hwa
;
Lee, Ho-Seok
;
Shin, Yong Hyun
- In:
Finance research letters
25
(
2018
),
pp. 213-221
Persistent link: https://www.econbiz.de/10012003529
Saved in:
9
Moments of renewal shot-noise processes and their applications
Jang, Jiwook
;
Dassios, Angelos
;
Zhao, Hongbiao
- In:
Scandinavian actuarial journal
(
2018
)
8
,
pp. 727-752
Persistent link: https://www.econbiz.de/10011939737
Saved in:
10
Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework
Menoncin, Francesco
;
Vigna, Elena
- In:
Insurance / Mathematics & economics
76
(
2017
),
pp. 172-184
Persistent link: https://www.econbiz.de/10011774817
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