Similar Search Results

Portfolio optimization under a quantile hedging constraint

Bouveret, Géraldine - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-36

Persistent link: https://www.econbiz.de/10011956927

On regularized optimal execution problems and their singular limits

Souza, Max O.; Thamsten, Y. - In: Applied mathematical finance 29 (2022) 2, pp. 79-109

Persistent link: https://www.econbiz.de/10013554788

Optimal investment decision under switching regimes of subsidy support

Oliveira, Carlos; Perkowski, Nicolas - In: European journal of operational research : EJOR 285 (2020) 1, pp. 120-132

Persistent link: https://www.econbiz.de/10012239489

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

Mean-variance portfolio optimization with state-dependent risk aversion

Björk, Tomas; Murgoci, Agatha; Zhou, Xun Yu - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10010256230

Optimal investment-reinsurance with delay for mean-variance insurers : a maximum principle approach

Shen, Yang; Zeng, Yan - In: Insurance / Mathematics & economics 57 (2014), pp. 1-12

Persistent link: https://www.econbiz.de/10010402753

Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous-time mean-variance asset allocation under stochastic volatility

Ma, K.; Forsyth, Peter A. - In: The journal of computational finance 20 (2016) 1, pp. 1-37

Persistent link: https://www.econbiz.de/10011639504

Portfolio optimization : application of the Markowitz model using lagrange and profitability forecast

Brătian, Vasile - In: Expert journal of economics 6 (2018) 1, pp. 26-34

This paper presents the theoretical and applicative model elaborated by Harry Markowitz on the determination of the structure of the efficient securities portfolio. In this sense, in order to determine the structure of the efficient Markowitz portfolio (PE), a Lagrange function is built and...

Persistent link: https://www.econbiz.de/10012062904

Optimal portfolios with stochastic interest rates and defaultable assets

Kraft, Holger - 2004

Persistent link: https://www.econbiz.de/10002018962

Portfolio optimization under CV@R constraint with stochastic mirror descent

Gadat, Sébastien; Costa, Manon; Huang, Lorick - 2022

Persistent link: https://www.econbiz.de/10013263291

1
2
3
4
5
6
7
8
9
10
Next
Last