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Near-optimal asset allocation in financial markets with trading constraints
Kamma, Thijs; Pelsser, Antoon André Jean - In: European journal of operational research : EJOR 297 (2022) 2, pp. 766-781
Persistent link: https://www.econbiz.de/10013259935
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A class of portfolio optimization solvable problems
Cheng, Yuyang; Escobar, Marcos - In: Finance research letters 52 (2023), pp. 1-10
Persistent link: https://www.econbiz.de/10014472208
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Rectangular sets of probability measures
Shapiro, Alexander - In: Operations research 64 (2016) 2, pp. 528-541
Persistent link: https://www.econbiz.de/10011485624
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Minimizing lifetime poverty with a penalty for bankruptcy
Cohen, Asaf; Young, Virginia R. - In: Insurance / Mathematics & economics 69 (2016), pp. 156-167
Persistent link: https://www.econbiz.de/10011530945
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Minimizing the probability of lifetime drawdown under constant consumption
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. - In: Insurance / Mathematics & economics 69 (2016), pp. 210-223
Persistent link: https://www.econbiz.de/10011533908
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Minimizing the expected lifetime spent in drawdown under proportional consumption
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. - In: Finance research letters 15 (2015), pp. 106-114
Persistent link: https://www.econbiz.de/10011552995
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A maximum principle for Markov regime-switching forward-backward stochastic differential games and applications
Menoukeu-Pamen, Olivier; Momeya, Romuald Hervé - In: Mathematical methods of operations research 85 (2017) 3, pp. 349-388
Persistent link: https://www.econbiz.de/10011714509
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Simple explicit formula for near-optimal stochastic lifestyling
Černý, Aleš; Melicherčík, Igor - In: European journal of operational research : EJOR 284 (2020) 2, pp. 769-778
Persistent link: https://www.econbiz.de/10012238805
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Optimal investment and risk control for an insurer with stochastic factor
Bo, Lijun; Wang, Shihua - In: Operations research letters 45 (2017) 3, pp. 259-265
Persistent link: https://www.econbiz.de/10011719330
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Optimal investment and location decisions of a firm in a flood risk area using Impulse Control Theory
Grames, Johanna; Grass, Dieter; Kort, Peter M.; … - 2017 - Version January 31, 2017
Flooding events can affect businesses close to rivers, lakes or coasts. This paper provides a partial equilibrium model which helps to understand the optimal location choice for a firm in flood risk areas and its investment strategies. How often, when and how much are firms willing to invest in...
Persistent link: https://www.econbiz.de/10011591799