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~isPartOf:"Journal of economic dynamics & control"
~isPartOf:"Mathematical methods of operations research"
~subject:"Portfolio-Management"
~subject:"Umweltökonomik"
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2
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Bi, Junna
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Journal of economic dynamics & control
Mathematical methods of operations research
Insurance / Mathematics & economics
24
Finance and stochastics
13
Mathematical finance : an international journal of mathematics, statistics and financial theory
13
International journal of theoretical and applied finance
11
European journal of operational research : EJOR
9
Journal of mathematical finance
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ECONIS (ZBW)
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1
Optimal mean-variance investment/reinsurance withcommon shock in a regime-switching market
Bi, Junna
;
Liang, Zhibin
;
Yuen, Kam Chuen
- In:
Mathematical methods of operations research
90
(
2019
)
1
,
pp. 109-135
Persistent link: https://www.econbiz.de/10012116630
Saved in:
2
Portfolio optimization for a large investor under partial information and price impact
Eksi, Zehra
;
Ku, Hyejin
- In:
Mathematical methods of operations research
86
(
2017
)
3
,
pp. 601-623
Persistent link: https://www.econbiz.de/10011793402
Saved in:
3
An optimal stochastic control framework for determining the cost of hedging of variable annuities
Forsyth, Peter A.
;
Vetzal, Kenneth R.
- In:
Journal of economic dynamics & control
44
(
2014
),
pp. 29-53
Persistent link: https://www.econbiz.de/10010470085
Saved in:
4
Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products
Huang, Yao Tung
;
Kwok, Yue-Kuen
- In:
Journal of economic dynamics & control
45
(
2014
),
pp. 19-43
Persistent link: https://www.econbiz.de/10010474467
Saved in:
5
Dynamic pairs trading using the stochastic control approach
Tourin, Agnès
;
Yan, Raphael
- In:
Journal of economic dynamics & control
37
(
2013
)
10
,
pp. 1972-1981
Persistent link: https://www.econbiz.de/10010196951
Saved in:
6
Numerical solution of the HamiltonJacobiBellman formulation for continuous time mean variance asset allocation
Wang, J.
;
Forsyth, Peter A.
- In:
Journal of economic dynamics & control
34
(
2010
)
2
,
pp. 207-230
Persistent link: https://www.econbiz.de/10003947664
Saved in:
7
A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization
Andersson, Daniel
;
Djehiche, Boualem
- In:
Mathematical methods of operations research
72
(
2010
)
2
,
pp. 273-310
Persistent link: https://www.econbiz.de/10008696632
Saved in:
8
An optimal investment strategy with maximal risk aversion and its ruin probability
Fernández, Begoña
;
Hernández-Hernández, Daniel
; …
- In:
Mathematical methods of operations research
68
(
2008
)
1
,
pp. 159-179
Persistent link: https://www.econbiz.de/10003748390
Saved in:
9
Dynamic mean-variance problem with constrained risk control for the insurers
Bai, Lihua
;
Zhang, Huayue
- In:
Mathematical methods of operations research
68
(
2008
)
1
,
pp. 181-205
Persistent link: https://www.econbiz.de/10003748393
Saved in:
10
Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory
Chellathurai, Thamayanthi
;
Draviam, Thangaraj
- In:
Journal of economic dynamics & control
31
(
2007
)
7
,
pp. 2168-2195
Persistent link: https://www.econbiz.de/10003485001
Saved in:
1
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