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Modelling uncertain operational cash flows of real estate investments using simulations of stochastic processes
Pfnür, Andreas; Armonat, Stefan - In: Journal of property investment & finance 31 (2013) 5, pp. 481-501
Persistent link: https://www.econbiz.de/10009790273
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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
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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
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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
Persistent link: https://www.econbiz.de/10008991293
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Profitability of time series momentum
He, Xue-zhong; Li, Kai - In: Journal of banking & finance 53 (2015), pp. 140-157
Persistent link: https://www.econbiz.de/10011377714
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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
Persistent link: https://www.econbiz.de/10011312080
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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
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Neyman-Pearson hedging and dynamic measures of risk
Kohlmann, Michael - 2000
main aim is to minimize this shortfall risk by making use of results from bsde theory. …
Persistent link: https://www.econbiz.de/10011545021
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Stochastic partial differential equations and portfolio choice
Musiela, Marek; Zariphopoulou-Souganidis, Thaleia - In: Contemporary quantitative finance : essays in honour of …, (pp. 195-216). 2010
Persistent link: https://www.econbiz.de/10008749273
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A characterization of equilibrium strategies in continuous-time mean-variance problems for insurers
Alia, Ishak; Chighoub, Farid; Sohail, Ayesha - In: Insurance / Mathematics & economics 68 (2016), pp. 212-223
Persistent link: https://www.econbiz.de/10011493837