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Continuous Time Mean-Variance Optimal Portfolio Allocation Under Jump Diffusion : An Numerical Impulse Control Approach

Dang, Duy-Minh - 2013

We present efficient partial differential equation (PDE) methods for continuous time mean-variance portfolio allocation problems when the underlying risky asset follows a jump-diffusion. The standard formulation of mean-variance optimal portfolio allocation problems, where the total wealth is...

Persistent link: https://www.econbiz.de/10013084034

Multi-period dynamic bond portfolio optimization utilizing a stochastic interest rate model

Shimai, Yoshiyuki; Makimoto, Naoki - In: Asia Pacific financial markets 30 (2023) 4, pp. 817-844

Persistent link: https://www.econbiz.de/10014391968

Zinsmodelle in der stochastischen Optimierung : mit Anwendungen im Asset- & Liability-Management

Schürle, Michael - 1998

Persistent link: https://www.econbiz.de/10000672590

Stochastic control for asset management

Kung, James J.; Wong, Wing Keung; Wu, E.-ching - In: Journal of mathematical finance 3 (2013) 1, pp. 59-69

Persistent link: https://www.econbiz.de/10010240225

Reducing transaction costs for interest rate risk hedging with stochastic programming

Blomvall, Jörgen; Hagenbjörk, Johan - In: European journal of operational research : EJOR 302 (2022) 3, pp. 1282-1293

Persistent link: https://www.econbiz.de/10013363855

Regularized Decomposition Methods for Deterministic and Stochastic Convex Optimization and Application to Portfolio Selection with Direct Transaction and Market Impact Costs

Guigues, Vincent - 2017

portfolio models with direct transaction and market impact costs. In particular, we propose a risk-neutral portfolio selection … portfolio selection problems with market impact costs tested and much faster on the instance of risk-neutral multistage …

Persistent link: https://www.econbiz.de/10012965491

Extensions on Stochastic Dominance Efficiency Tests

Kallio, Markku - 2018

as decreasing absolute risk aversion (DARA) stochastic dominance (DSD). For comparison with DSD we also consider …

Persistent link: https://www.econbiz.de/10012928166

Solving Complex Equations Subject to Constraints Using Lagrangian Constrained Optimization

Burgess, Nicholas - 2021

In this paper we outline the Lagrangian constrained optimization method to solve complex problems subject to constraints. Firstly we summarize the Lagrangian constrained optimization routine. Secondly we outline a detailed implementation strategy. Thirdly and finally we provide example and solve...

Persistent link: https://www.econbiz.de/10013213151

A stochastic optimization model for multi-currency bond portfolio management

Hakala, Tuula - 1996

Persistent link: https://www.econbiz.de/10013447222

Portfolio selection : a technical note

Martins, Ana Paula - 2012

assets only, the constrained one, and the presence of a risk-free asset. The use of a generalized form for the budget … - and infer the price of pure risk. Some properties of the several solutions are highlighted. The rationale for a linear …

Persistent link: https://www.econbiz.de/10011526683