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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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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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Robust optimal investment and reinsurance problem for a general insurance company under Heston model
Huang, Ya; Xiangqun, Yang; Zhou, Jieming - In: Mathematical methods of operations research 85 (2017) 2, pp. 305-326
Persistent link: https://www.econbiz.de/10011714438
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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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SAA method based on modified Newton method for stochastic variational inequality with second-oder cone constraints and application in portfolio optimization
Chen, Shuang; Pang, Li-Ping; Ma, Xue-Fei; Li, Dan - In: Mathematical methods of operations research 84 (2016) 1, pp. 129-154
Persistent link: https://www.econbiz.de/10011673458
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Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence
Liang, Zhibin; Bi, Junna; Yuen, Kam Chuen; Zhang, Caibin - In: Mathematical methods of operations research 84 (2016) 1, pp. 155-181
Persistent link: https://www.econbiz.de/10011673473
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Robust canonical duality theory for solving nonconvex programming problems under data uncertainty
Shen, Linsong; Wang, Yanjun; Zhang, Xiaomei - In: Mathematical methods of operations research 84 (2016) 1, pp. 183-204
Persistent link: https://www.econbiz.de/10011673505
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Utility maximization in an illiquid market in continuous time
Soner, Halil Mete; Vukelja, Mirjana - In: Mathematical methods of operations research 84 (2016) 2, pp. 285-321
Persistent link: https://www.econbiz.de/10011673528
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Long run risk sensitive portfolio with general factors
Pitera, Marcin; Stettner, Łukasz - In: Mathematical methods of operations research 83 (2016) 2, pp. 265-293
Persistent link: https://www.econbiz.de/10011673660