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~subject:"Portfolio choice"
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Portfolio choice
Martingale method
31
Portfolio selection
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martingale method
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human capital
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option-based portfolio insurance
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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
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2
Optimal management of DC pension plan under loss aversion and Value-at-Risk constraints
Guan, Guohui
;
Liang, Zongxia
- In:
Insurance / Mathematics & economics
69
(
2016
),
pp. 224-237
Persistent link: https://www.econbiz.de/10011533911
Saved in:
3
Optimal portfolio choice for an insurer with loss aversion
Guo, Wenjing
- In:
Insurance: Mathematics and Economics
58
(
2014
)
C
,
pp. 217-222
martingale
method
, we translate the dynamic maximization problem into an equivalent static optimization problem. By solving the …
Persistent link: https://www.econbiz.de/10010930894
Saved in:
4
Optimal portfolio choice for an insurer with loss aversion
Guo, Wenjing
- In:
Insurance / Mathematics & economics
58
(
2014
),
pp. 217-222
Persistent link: https://www.econbiz.de/10010437561
Saved in:
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