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~subject:"Incomplete market"
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Search: subject_exact:"Optimal control problem"
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Incomplete market
Control theory
1,900
Kontrolltheorie
1,900
Theorie
540
Theory
539
Stochastic process
530
Stochastischer Prozess
530
Mathematical programming
362
Mathematische Optimierung
362
Portfolio selection
212
Portfolio-Management
212
Dynamic programming
154
Dynamische Optimierung
154
Optimal control
85
Spieltheorie
85
Game theory
83
optimal control
76
Markov chain
74
Markov-Kette
74
Geldpolitik
72
Monetary policy
72
Kybernetik
70
USA
70
United States
70
Robust statistics
68
Robustes Verfahren
68
Cybernetics
67
Mathematik
64
Option pricing theory
64
Optionspreistheorie
64
Mathematics
63
Risk
53
Inventory model
52
Lagerhaltungsmodell
52
Risiko
52
Decision under uncertainty
46
Entscheidung unter Unsicherheit
46
Search theory
46
Suchtheorie
46
Analysis
45
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9
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Kizaki, Keisuke
2
Saito, Taiga
2
Takahashi, Akihiko
2
Bellalah, Mondher
1
Henderson, Vicky
1
Hess, Markus
1
Hobson, David G.
1
Kamma, Thijs
1
Korn, Ralf
1
Li, Zhongfei
1
Pelsser, Antoon André Jean
1
Sulem, Agnès
1
Viens, Frederi G.
1
Yi, Bo
1
Zeng, Yan
1
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Øksendal, Bernt K.
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Mathematical finance : an international journal of mathematics, statistics and financial theory
2
Applied mathematical finance
1
CARF working paper
1
CIRJE discussion papers / F series
1
Economic modelling
1
European journal of operational research : EJOR
1
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ECONIS (ZBW)
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1
Multi-agent robust optimal investment problem in incomplete market
Kizaki, Keisuke
;
Saito, Taiga
;
Takahashi, Akihiko
-
2023
Persistent link: https://www.econbiz.de/10014438131
Saved in:
2
Multi-agent robust optimal investment problem in incomplete market
Kizaki, Keisuke
;
Saito, Taiga
;
Takahashi, Akihiko
-
2022
-
Revised in November 2022
Persistent link: https://www.econbiz.de/10013463761
Saved in:
3
Near-optimal asset allocation in financial markets with trading constraints
Kamma, Thijs
;
Pelsser, Antoon André Jean
- In:
European journal of operational research : EJOR
297
(
2022
)
2
,
pp. 766-781
Persistent link: https://www.econbiz.de/10013259935
Saved in:
4
Explicit representations for utility indifference prices
Hess, Markus
- In:
Applied mathematical finance
28
(
2021
)
1
,
pp. 23-47
Persistent link: https://www.econbiz.de/10012625986
Saved in:
5
A model for international capital markets closure in an economy with incomplete markets and short sales
Bellalah, Mondher
;
Zhang, Detao
- In:
Economic modelling
67
(
2017
),
pp. 316-324
Persistent link: https://www.econbiz.de/10011813834
Saved in:
6
Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
Yi, Bo
;
Li, Zhongfei
;
Viens, Frederi G.
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
53
(
2013
)
3
,
pp. 601-614
Persistent link: https://www.econbiz.de/10010227929
Saved in:
7
Risk indifference pricing in jump diffusion markets
Øksendal, Bernt K.
;
Sulem, Agnès
- In:
Mathematical finance : an international journal of …
19
(
2009
)
4
,
pp. 619-637
Persistent link: https://www.econbiz.de/10003937165
Saved in:
8
A note on irreversible investment, hedging and optimal consumption problems
Henderson, Vicky
;
Hobson, David G.
- In:
International journal of theoretical and applied finance
9
(
2006
)
6
,
pp. 997-1007
Persistent link: https://www.econbiz.de/10003380323
Saved in:
9
Value preserving strategies and a general framework for local approaches to optimal portfolios
Korn, Ralf
- In:
Mathematical finance : an international journal of …
10
(
2000
)
2
,
pp. 227-241
Persistent link: https://www.econbiz.de/10002177631
Saved in:
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