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Mean-variance portfolio optimization with state-dependent risk aversion
Björk, Tomas; Murgoci, Agatha; Zhou, Xun Yu - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10010256230
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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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An explicit solution of a nonlinear-quadratic constrained stochastic control problem with jumps : optimal liquidation in dark pools with adverse selection
Kratz, Peter - In: Mathematics of operations research 39 (2014) 4, pp. 1198-1220
Persistent link: https://www.econbiz.de/10010462146
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Closed-form portfolio optimization under GARCH models
Escobar, Marcos; Gollart, Maximilian; Zagst, Rudi - In: Operations research perspectives 9 (2022), pp. 1-13
This paper develops an approximate closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to maximize the expected utility from terminal wealth under a...
Persistent link: https://www.econbiz.de/10012880259
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Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model
Gu, Ailing; Viens, Frederi G.; Shen, Yang - In: Scandinavian actuarial journal 2020 (2020) 4, pp. 342-375
Persistent link: https://www.econbiz.de/10012262741
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Shortfall risk minimization under fixed transaction costs
Nayman, Niv - In: International journal of theoretical and applied finance 21 (2018) 5, pp. 1-29
Persistent link: https://www.econbiz.de/10011903790
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Optimal policy for a time consistent mean-variance model with regime switching
Li, Gang; Chen, Zhiping; Liu, Jia - In: IMA journal of management mathematics 27 (2016) 2, pp. 211-234
Persistent link: https://www.econbiz.de/10011567026
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Mean-variance portfolio selection with an uncertain exit-time in a regime-switching market
Keykhaei, Reza - In: RAIRO / Operations research 53 (2019) 4, pp. 1171-1186
Persistent link: https://www.econbiz.de/10012118960
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Multi-period mean-variance portfolio selection with state-dependent exit probability and bankruptcy state
Wang, Yang; Wu, Yonghong; Zhang, Xinguang - In: Journal of mathematical finance 9 (2019) 2, pp. 152-174
Persistent link: https://www.econbiz.de/10012233377
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A defined benefit pension plan model with stochastic salary and heterogeneous discounting
Josa-Fombellida, Ricardo; López-Casado, Paula; Navas, Jorge - In: ASTIN bulletin : the journal of the International … 53 (2023) 1, pp. 62-83
Persistent link: https://www.econbiz.de/10014247641