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E-monotone Fourier methods for optimal stochastic control in finance

Forsyth, Peter A.; Labahn, George - In: The journal of computational finance 22 (2018/2019) 4, pp. 25-71

Persistent link: https://www.econbiz.de/10012042218

Approximating the solution of stochastic optimal control problems and the Merton's portfolio selection model

Kafash, Behzad - In: Computational economics 54 (2019) 2, pp. 763-782

Persistent link: https://www.econbiz.de/10012134353

A numerical algorithm for the coupled PDEs control problem

Yuan, Gonglin; Li, Xiangrong - In: Computational economics 53 (2019) 2, pp. 697-707

Persistent link: https://www.econbiz.de/10012134850

Optimal liquidation under stochastic price impact

Barger, Weston; Lorig, Matthew - In: International journal of theoretical and applied finance 22 (2019) 2, pp. 1-28

Persistent link: https://www.econbiz.de/10012012935

Lost in translation : explicitly solving nonlinear stochastic optimal control problems using the median objective value

Savin, Ivan; Blueschke, Dmitri - In: Computational economics 48 (2016) 2, pp. 317-338

Persistent link: https://www.econbiz.de/10011646783

Risk management of interest rate derivative portfolios : a stochastic control approach

Kiriakopoulos, Konstantinos; Koulis, Alexandros - In: Journal of risk and financial management : JRFM 7 (2014) 4, pp. 130-149

In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic portfolio optimization problem. The utility that we use can be any continuous function and based on the viscosity theory, the unique solution of the problem is guaranteed. The...

Persistent link: https://www.econbiz.de/10011552973

Portfolio optimization with performance ratios

Lin, Hongcan; Saunders, David M.; Weng, Chengguo - In: International journal of theoretical and applied finance 22 (2019) 5, pp. 1-38

Persistent link: https://www.econbiz.de/10012153014

The two-dimensional tree-grid method

Kossaczký, Igor; Ehrhardt, Matthias; Günther, Michael - In: The journal of computational finance 23 (2019) 2, pp. 29-57

Persistent link: https://www.econbiz.de/10012111259

Optimal stochastic control problem under model uncertainty with nonentropy penalty

Faidi, Wahid; Matoussi, Anis; Mnif, Mohamed - In: International journal of theoretical and applied finance 20 (2017) 3, pp. 1-41

Persistent link: https://www.econbiz.de/10011686954

A non-stationary model of dividend distribution in a stochastic interest-rate setting

Barth, Andrea; Moreno-Bromberg, Santiago; Reichmann, Oleg - In: Computational economics 47 (2016) 3, pp. 447-472

Persistent link: https://www.econbiz.de/10011712413