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Optioned portfolio selection : models and analysis

Liang, Jianfeng; Zhang, Shuzhong; Li, Duan - In: Mathematical finance : an international journal of … 18 (2008) 4, pp. 569-593

Persistent link: https://www.econbiz.de/10003769015

Guaranteed minimum withdrawal benefit in variable annuities

Dai, Min; Kwok, Yue-Kuen; Zong, Jianping - In: Mathematical finance : an international journal of … 18 (2008) 4, pp. 595-611

Persistent link: https://www.econbiz.de/10003769016

A model of optimal consumption under liquidity risk with random trading times

Pham, Huyên; Tankov, Peter - In: Mathematical finance : an international journal of … 18 (2008) 4, pp. 613-627

Persistent link: https://www.econbiz.de/10003769020

Liquidation of a large block of stock with regime switching

Pemy, Moustapha; Zhang, Qing; Yin, George - In: Mathematical finance : an international journal of … 18 (2008) 4, pp. 629-648

Persistent link: https://www.econbiz.de/10003769023

Multidimensional portfolio optimization with proportional transaction costs

Muthuraman, Kumar; Kumar, Sunil - In: Mathematical finance : an international journal of … 16 (2006) 2, pp. 301-335

Persistent link: https://www.econbiz.de/10003325969

Classical and impulse stochastic control for the optimization of the dividend and risk policies of an insurance firm

Cadenillas, Abel; Choulli, Tahir; Taskar, Michael; … - In: Mathematical finance : an international journal of … 16 (2006) 1, pp. 181-202

Persistent link: https://www.econbiz.de/10003336870

Maximizing the growth rate under risk constraints

Pirvu, Traian A.; Žitković, Gordan - In: Mathematical finance : an international journal of … 19 (2009) 3, pp. 423-455

Persistent link: https://www.econbiz.de/10003882789

Risk indifference pricing in jump diffusion markets

Øksendal, Bernt K.; Sulem, Agnès - In: Mathematical finance : an international journal of … 19 (2009) 4, pp. 619-637

Persistent link: https://www.econbiz.de/10003937165

Liquidation in limit order books with controlled intensity

Bayraktar, Erhan; Ludkovski, Michael - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 627-650

Persistent link: https://www.econbiz.de/10011308178

Optimal deterministic investment strategies for insurers

Bäuerle, Nicole; Rieder, Ulrich - In: Risks : open access journal 1 (2013) 3, pp. 101-118

We consider an insurance company whose risk reserve is given by a Brownian motion with drift and which is able to invest the money into a Black–Scholes financial market. As optimization criteria, we treat mean-variance problems, problems with other risk measures, exponential utility and the...

Persistent link: https://www.econbiz.de/10010199019