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Capital requirements and optimal investment with solvency probability constraints
Asimit, Alexandru V.; Badescu, Alexandru M.; Siu, Tak Kuen - In: IMA journal of management mathematics 26 (2015) 4, pp. 345-375
Persistent link: https://www.econbiz.de/10011515664
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Optimal investment and consumption under partial information
Lindensjö, Kristoffer - In: Mathematical methods of operations research 83 (2016) 1, pp. 87-107
Persistent link: https://www.econbiz.de/10011446622
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Dynamic hedging in incomplete markets using risk measures
Gaillardetz, Patrice; Hachem, Saeb - In: IMA journal of management mathematics 33 (2022) 2, pp. 345-367
Persistent link: https://www.econbiz.de/10012798787
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A stochastic dominance approach to pension-fund selection
Kopa, Miloš; Kabašinskas, Audrius; Šutienė, Kristina - In: IMA journal of management mathematics 33 (2022) 1, pp. 139-160
Persistent link: https://www.econbiz.de/10012654796
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A worst-case approach for interest rate stresses and stock crashes
Beißer, Marcel; Geisinger, Leander; Korn, Ralf - In: IMA journal of management mathematics 33 (2022) 3, pp. 491-510
Persistent link: https://www.econbiz.de/10013253394
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Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics
Singh, Arti; Selvamuthu, Dharmaraja - In: Mathematical methods of operations research 86 (2017) 1, pp. 29-69
Persistent link: https://www.econbiz.de/10011714373
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Better than pre-committed optimal mean-variance policy in a jump diffusion market
Shi, Yun; Li, Xun; Cui, Xiangyu - In: Mathematical methods of operations research 85 (2017) 3, pp. 327-347
Persistent link: https://www.econbiz.de/10011714505
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Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks
Pan, Jian; Xiao, Qingxian - In: Mathematical methods of operations research 85 (2017) 3, pp. 491-519
Persistent link: https://www.econbiz.de/10011714519
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Lasso-based simulation for high-dimensional multi-period portfolio optimization
Li, Zhongyu; Tsang, Ka Ho; Wong, Hoi Ying - In: IMA journal of management mathematics 31 (2020) 3, pp. 257-280
Persistent link: https://www.econbiz.de/10012258670
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The optimal investment problem for an insurer and a reinsurer under the constant elasticity of variance model
Li, Danping; Rong, Ximin; Zhao, Hui - In: IMA journal of management mathematics 27 (2016) 2, pp. 255-280
Persistent link: https://www.econbiz.de/10011567155