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Optimal consumption and investment under partial information
Putschögl, Wolfgang; Sass, Jörn - In: Decisions in economics and finance : DEF ; a journal of … 31 (2008) 2, pp. 137-170
Persistent link: https://www.econbiz.de/10003771480
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MDP algorithms for portfolio optimization problems in pure jump markets
Bäuerle, Nicole; Rieder, Ulrich - In: Finance and stochastics 13 (2009) 4, pp. 591-611
Persistent link: https://www.econbiz.de/10003899534
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Robust scenario optimization based on downside-risk measure for multi-period portfolio selection
Pınar, Mustafa C.̧ - In: OR spectrum : quantitative approaches in management 29 (2007) 2, pp. 295-309
Persistent link: https://www.econbiz.de/10003464177
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Optimal investment under dual risk model and Markov modulated financial market
Xu, Lin; Zhang, Liming; Zhu, Dongjin - In: Journal of mathematical finance 5 (2015) 2, pp. 157-171
Persistent link: https://www.econbiz.de/10011398985
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Dynamic portfolio optimization with transaction costs and state-dependent drift
Palczewski, Jan; Poulsen, Rolf; Schenk-Hoppé, Klaus Reiner - In: European journal of operational research : EJOR 243 (2015) 3, pp. 921-931
Persistent link: https://www.econbiz.de/10010513816
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Dynamic asset allocation for varied financial markets under regime switching framework
Bae, Geum Il; Kim, Woo Chang; Mulvey, John M. - In: European journal of operational research : EJOR 234 (2014) 2, pp. 450-458
Persistent link: https://www.econbiz.de/10010356729
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Risk-sensitive and mean variance optimality in Markov decision processes
Sladký, Karel - In: Czech economic review : acta Universitatis Carolinae … 7 (2013) 3, pp. 146-161
Persistent link: https://www.econbiz.de/10010341117
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Facelifting in utility maximization
Larsen, Kasper; Soner, Halil Mete; Žitković, Gordan - In: Finance and stochastics 20 (2016) 1, pp. 99-121
Persistent link: https://www.econbiz.de/10011460007
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Portfolio optimization under partial information with expert opinions
Frey, Rüdiger; Gabih, Abdelali; Wunderlich, Ralf - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10009562133
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Portfolio optimization under partial information: stochastic volatility in a hidden Markov model
Sass, Jörn; Haussmann, Ulrich G. - In: Operations research proceedings 2003 : selected papers …, (pp. 387-394). 2004
Persistent link: https://www.econbiz.de/10002072557