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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

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

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Liquidation of a large block of stock

Pemy, M.; Zhang, Q.; Yin, G. - In: Journal of banking & finance 31 (2007) 5, pp. 1295-1305

Persistent link: https://www.econbiz.de/10003461158

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

Mean-variance portfolio selection in presence of infrequently traded stocks

Castellano, Rosella; Cerqueti, Roy - In: European journal of operational research : EJOR 234 (2014) 2, pp. 442-449

Persistent link: https://www.econbiz.de/10010356733

Optimal investment strategies under affine Markov-switching models : theory, examples and implementation

Neykova, Daniela - 2016

This thesis deals with the portfolio optimization problem of an investor who aims to maximize the expected utility of her terminal wealth. The considered multidimensional asset price model incorporates several risk factors modeled both by diffusion processes and by a Markov chain. Based on the...

Persistent link: https://www.econbiz.de/10011475639