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Lazgham, Mourad - 2015

Persistent link: https://www.econbiz.de/10011437748

Asset pricing and consumption-portfolio choice with recursive utility and unspanned risk

Kraft, Holger; Seiferling, Thomas; Seifried, Frank Thomas - 2014 - first version: March 6, 2014; this version: August 4, 2014

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Numerical methods in finance

Rogers, Leonard C. G. (contributor); … - 2008 - Digitally print. version, paperb. re-issue

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"Itô's Lemma" and the Bellman equation for poisson processes : an applied view

Sennewald, Ken (contributor); Wälde, Klaus (contributor) - 2006

Using the Hamilton-Jacobi-Bellman equation, we derive both a Keynes-Ramsey rule and a closed form solution for an optimal consumption-investment problem with labor income. The utility function is unbounded and uncertainty stems from a Poisson process. Our results can be derived because of the...

Persistent link: https://www.econbiz.de/10003301211

A generalized Neyman-Pearson lemma for g-probabilities

Ji, Shaolin; Zhou, Xun Yu - In: Probability theory and related fields 148 (2010) 3/4, pp. 645-669

Persistent link: https://www.econbiz.de/10008649933

A general maximum principle for anticipative stochastic control and applications to insider trading

Di Nunno, Giulia; Pamen, Olivier Menoukeu; Øksendal, … - In: Advanced mathematical methods for finance, (pp. 181-221). 2011

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Profitability of time series momentum

He, Xue-zhong; Li, Kai - In: Journal of banking & finance 53 (2015), pp. 140-157

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Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process

Shen, Yang; Zeng, Yan - In: Insurance / Mathematics & economics 62 (2015), pp. 118-137

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Optimal investment for a defined-contribution pension scheme under a regime switching model

Chen, An; Delong, Łukasz - In: Astin bulletin : the journal of the International … 45 (2015) 2, pp. 397-419

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Generalized volatility-stabilized processes

Picková, Radka - In: Annals of finance 10 (2014) 1, pp. 101-125

Persistent link: https://www.econbiz.de/10010244577