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Hambly, Ben; Kolliopoulos, Nikolaos - In: Finance and stochastics 24 (2020) 3, pp. 757-794

Persistent link: https://www.econbiz.de/10012518096

Optimal portfolio allocation of commodity related assets using a controlled forward-backward algorithm

Ludwig, Stephan Ernst - 2013

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Optimal investment-reinsurance with delay for mean-variance insurers : a maximum principle approach

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The VIX and future information

Hess, Markus - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-30

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Time-consistent investment and consumption strategies under a general discount function

Alia, Ishak; Chighoub, Farid; Khelfallah, Nabil; Vives, … - In: Journal of risk and financial management : JRFM 14 (2021) 2/86, pp. 1-27

In the present paper, we investigate the Merton portfolio management problem in the context of non-exponential discounting, a context that gives rise to time-inconsistency of the decision-maker. We consider equilibrium policies within the class of open-loop controls that are characterized, in...

Persistent link: https://www.econbiz.de/10012484346

Numerical methods in financial and actuarial applications : a stochastic maximum principle approach

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Comparison of mean variance like strategies for optimal asset allocation problems

Wang, J.; Forsyth, Peter A. - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-32

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An optimal stochastic control framework for determining the cost of hedging of variable annuities

Forsyth, Peter A.; Vetzal, Kenneth R. - In: Journal of economic dynamics & control 44 (2014), pp. 29-53

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Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment

Bichuch, Maxim - In: Finance and stochastics 18 (2014) 3, pp. 651-694

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Quantification of risk in classical models of finance

Pichler, Alois; Schlotter, Ruben - In: Quantitative finance 22 (2022) 1, pp. 31-45

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