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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
Persistent link: https://www.econbiz.de/10012496903
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Optimal risk control under marked point processes shocks : a dynamic programming duality approach
Mnif, Mohamed - In: International journal of theoretical and applied finance 16 (2013) 7, pp. 1-45
Persistent link: https://www.econbiz.de/10010233243
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Solvability and numerical simulation of BSDEs related to BSPDEs with applications to utility maximization
Imkeller, Peter; Réveillac, Anthony; Zhang, Jianing - In: International journal of theoretical and applied finance 14 (2011) 5, pp. 635-667
Persistent link: https://www.econbiz.de/10009298518
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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, pp. 1-28
Persistent link: https://www.econbiz.de/10012650186
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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
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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
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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
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Market making and portfolio liquidation under uncertainty
Nyström, Kaj; Aly, Sidi Mohamed Ould; Zhang, Changyong - In: International journal of theoretical and applied finance 17 (2014) 5, pp. 1-33
Persistent link: https://www.econbiz.de/10010437189
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Optimal timing of the annuity purchase : combined stochastic control and optimal stopping problem
Stabile, Gabriele - In: International journal of theoretical and applied finance 9 (2006) 2, pp. 151-170
Persistent link: https://www.econbiz.de/10003312710
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A note on irreversible investment, hedging and optimal consumption problems
Henderson, Vicky; Hobson, David G. - In: International journal of theoretical and applied finance 9 (2006) 6, pp. 997-1007
Persistent link: https://www.econbiz.de/10003380323