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Capital growth under transaction costs : an analysis based on the von Neumann-Gale model

Bahsoun, Wael; Evstigneev, Igor V.; Taksar, Michael I. - 2008

In the recent work of Dempster, Evstigneev and Taksar (2006) it has been shown that the von Neumann-Gale model of economic dynamics can serve as a convenient and natural framework for the analysis of questions of asset pricing and hedging under transaction costs. The present article focuses on a...

Persistent link: https://www.econbiz.de/10003961438

Asset pricing and hedging in financial markets with transaction costs : an approach based on the von Neumann-Gale model

Dempster, Michael A. H. (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003187224

Minimal cost of a Brownian risk without ruin

Luo, Shangzhen; Taksar, Michael I. - In: Insurance / Mathematics & economics 51 (2012) 3, pp. 685-693

Persistent link: https://www.econbiz.de/10009683193

Controlling risk exposure and dividends payout schemes : insurance company example

Højgaard, Bjarne; Taksar, Michael - In: Mathematical finance : an international journal of … 9 (1999) 2, pp. 153-182

Persistent link: https://www.econbiz.de/10001372186

Optimal financing of a corporation subject to random returns

P.Sethi, Suresh; Taksar, Michael I. - In: Mathematical finance : an international journal of … 12 (2002) 2, pp. 155-172

Persistent link: https://www.econbiz.de/10001686246

Optimal risk control for a large corporation in the presence of returns on investments

Højgaard, Bjarne; Taksar, Michael I. - In: Finance and stochastics 5 (2001) 4, pp. 527-547

Persistent link: https://www.econbiz.de/10001614610

Optimal risk and dividend distribution control models for an insurance company

Taksar, Michael I. - In: Mathematical methods of operations research 51 (2000) 1, pp. 1-42

Persistent link: https://www.econbiz.de/10001488491

Optimal risk/dividend distribution control models : applications to insurance

Taksar, Michael I. - 1999

Persistent link: https://www.econbiz.de/10001421303

Stochastic models of economic dynamics and equilibrium

Evstigneev, Igor V.; Katushev, P. K. - 1979

Persistent link: https://www.econbiz.de/10000003671

The von Neumann-Gale growth model and its stochastic generalization

Evstigneev, Igor V.; Schenk-Hoppé, Klaus Reiner - 2006

Persistent link: https://www.econbiz.de/10003372674

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