Dynamic portfolio choice has been a central and essential objective for institutional investors in active asset management. In this paper, we study the dynamic portfolio choice depending on multiple conditioning variables, where the number of the conditioning variables can be either fixed or...

Economic modeling of Universal Basic Income (UBI) often fails to consider how individuals' utility calculations shift with unconditional transfers. In this paper we further develop the model of our previous paper - The Implications of UBI on Utility Functions and Tax Revenue (Neumärker, B.,...

We find the asymptotics of the value function maximizing the expected utility of discounted dividend payments of an insurance company whose reserves are modeled as a classical Cramér risk process, with exponentially distributed claims, when the initial reserves tend to infinity. We focus on the...