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Utility maximization with current utility on the wealth : regularity of solutions to the HJB equation

Federico, Salvatore; Gassiat, Paul; Gozzi, Fausto - In: Finance and stochastics 19 (2015) 2, pp. 415-448

Persistent link: https://www.econbiz.de/10011418169

Impact of time illiquidity in a mixed market without full observation

Federico, Salvatore; Gassiat, Paul; Gozzi, Fausto - In: Mathematical finance : an international journal of … 27 (2017) 2, pp. 401-437

Persistent link: https://www.econbiz.de/10011752503

Income drawdown option with minimum guarantee

Di Giacinto, Marina; Federico, Salvatore; Gozzi, Fausto; … - In: European Journal of Operational Research 234 (2014) 3, pp. 610-624

This paper deals with a constrained investment problem for a defined contribution (DC) pension fund where retirees are allowed to defer the purchase of the annuity at some future time after retirement.

Persistent link: https://www.econbiz.de/10010738169

Pension funds with a minimum guarantee: a stochastic control approach

Giacinto, Marina Di; Federico, Salvatore; Gozzi, Fausto - In: Finance and Stochastics 15 (2011) 2, pp. 297-342

Persistent link: https://www.econbiz.de/10009149762