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Optimal mean-variance selling strategies

Pedersen, J. L.; Peskir, Goran - In: Mathematics and financial economics 10 (2016) 2, pp. 203-220

Persistent link: https://www.econbiz.de/10011485912

Optimal selling rules for monetary invariant criteria : tracking the maximum of a portfolio with negative drift

Elie, Romuald; Espinosa, Gilles-Eduard - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 754-788

Persistent link: https://www.econbiz.de/10011350516

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

Single criterion vs. multi-criteria optimal stopping methods for portfolio management

Ben Abdelaziz, Fouad; Mallek, Ray Saadaoui; Masmoudi, Meryem - In: Journal of the Operational Research Society 69 (2018) 10, pp. 1557-1567

Persistent link: https://www.econbiz.de/10012228252

Multi-criteria optimal stopping methods applied to the portfolio optimisation problem

Ben Abdelaziz, Fouad; Mallek, Ray Saadaoui - In: Managerial multiple objective optimization, (pp. 29-46). 2018

Persistent link: https://www.econbiz.de/10011896962

Ein linearer Programmierungsansatz zur Lösung von Stopp- und Steuerungsproblemen

Röhl, Stefan - 2001

Persistent link: https://www.econbiz.de/10001589417

Proving regularity of the minimal probability of ruin via a game of stopping and control

Bayraktar, Erhan; Young, Virginia R. - In: Finance and stochastics 15 (2011) 4, pp. 785-818

Persistent link: https://www.econbiz.de/10009423263

Proving Regularity of the Minimal Probability of Ruin Via a Game of Stopping and Control

Bayraktar, Erhan - 2016

We reveal an interesting convex duality relationship between two problems: (a) minimizing the probability of lifetime ruin when the rate of consumption is stochastic and when the individual can invest in a Black-Scholes financial market; (b) a controller-and-stopper problem, in which the...

Persistent link: https://www.econbiz.de/10012990971

A family of search directions for Karmarkar's algorithm

Anstreicher, Kurt M.; Watteyne, Patrick - 1990

Persistent link: https://www.econbiz.de/10000793301

On a problem of optimal search

Gottinger, Hans Werner - 1975

Persistent link: https://www.econbiz.de/10000162018

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