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Optimization under rational expectations : a framework of fully coupled forward-backward stochastic linear quadratic systems
Hu, Mingshang
;
Ji, Shaolin
;
Xue, Xiaole
- In:
Mathematics of operations research
48
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2023
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3
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pp. 1767-1790
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Numerical methods in financial and actuarial applications : a stochastic maximum principle approach
Di Giacinto, Marina
- In:
Journal of mathematical finance
8
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2018
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2
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pp. 283-301
Persistent link: https://www.econbiz.de/10011874735
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Utility maximization with current utility on the wealth : regularity of solutions to the HJB equation
Federico, Salvatore
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Gassiat, Paul
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Gozzi, Fausto
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Finance and stochastics
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2015
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Minimizing the probability of lifetime drawdown under constant consumption
Angoshtari, Bahman
;
Bayraktar, Erhan
;
Young, Virginia R.
- In:
Insurance / Mathematics & economics
69
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2016
),
pp. 210-223
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5
Time-inconsistent Markovian control problems under model uncertainty with application to the mean-variance portfolio selection
Bielecki, Tomasz R.
;
Chen, Tao
;
Cialenco, Igor
- In:
International journal of theoretical and applied finance
24
(
2021
)
1
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pp. 1-28
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Optimal bookmaking
Loring, Matthew
;
Zhou, Zhou
;
Zou, Bin
- In:
European journal of operational research : EJOR
295
(
2021
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2
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pp. 560-574
Persistent link: https://www.econbiz.de/10013205968
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Near-optimal asset allocation in financial markets with trading constraints
Kamma, Thijs
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Pelsser, Antoon André Jean
- In:
European journal of operational research : EJOR
297
(
2022
)
2
,
pp. 766-781
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Optimal trading : the importance of being adaptive
Bellani, Claudio
;
Brigo, Damiano
;
Done, Alex
;
Neuman, Eyal
- In:
International journal of financial engineering
8
(
2021
)
4
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pp. 1-18
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Optimal liquidation trajectories for the Almgren-Chriss model
Løkka, Arne
;
Xu, Junwei
- In:
International journal of theoretical and applied finance
23
(
2020
)
7
,
pp. 1-35
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Robust optimal investment and reinsurance problems with learning
Bäuerle, Nicole
;
Leimcke, Gregor
- In:
Scandinavian actuarial journal
2021
(
2021
)
2
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pp. 82-109
Persistent link: https://www.econbiz.de/10012500254
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