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Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing
Leung, Tim; Song, Qingshuo; Yang, Jie - In: Finance and stochastics 17 (2013) 4, pp. 839-870
Persistent link: https://www.econbiz.de/10010190872
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Strong and weak equilibria for time-inconsistent stochastic control in continuous time
Huang, Yu-Jui; Zhou, Zhou - In: Mathematics of operations research 46 (2021) 2, pp. 428-451
Persistent link: https://www.econbiz.de/10012582175
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Epstein-Zin utility maximization on a random horizon
Aurand, Joshua; Huang, Yu-Jui - In: Mathematical finance : an international journal of … 33 (2023) 4, pp. 1370-1411
Persistent link: https://www.econbiz.de/10014370670
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An analysis of monotone follower problems for diffusion processes
Bayraktar, Erhan; Egami, Masahiko - In: Mathematics of operations research 33 (2008) 2, pp. 336-350
Persistent link: https://www.econbiz.de/10003732436
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Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions
Bayraktar, Erhan; Xing, Hao - In: Mathematical methods of operations research 70 (2009) 3, pp. 505-525
Persistent link: https://www.econbiz.de/10003909291
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Minimizing the probability of lifetime ruin under stochastic volatility
Bayraktar, Erhan; Hu, Xueying; Young, Virginia R. - In: Insurance / Mathematics & economics 49 (2011) 2, pp. 194-206
Persistent link: https://www.econbiz.de/10009242040
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Optimal dividends in the dual model under transaction costs
Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi - In: Insurance / Mathematics & economics 54 (2014), pp. 133-143
Persistent link: https://www.econbiz.de/10010259658
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Optimal reinsurance and investment with unobservable claim size and intensity
Liang, Zhibin; Bayraktar, Erhan - In: Insurance / Mathematics & economics 55 (2014), pp. 156-166
Persistent link: https://www.econbiz.de/10010366184
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Minimizing the probability of lifetime drawdown under constant consumption
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. - In: Insurance / Mathematics & economics 69 (2016), pp. 210-223
Persistent link: https://www.econbiz.de/10011533908
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Minimizing the expected lifetime spent in drawdown under proportional consumption
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. - In: Finance research letters 15 (2015), pp. 106-114
Persistent link: https://www.econbiz.de/10011552995