Similar Search Results

Optimal impulse control of a portfolio with a fixed transaction cost

Baccarin, Stefano; Marazzina, Daniele - In: Central European journal of operations research : CEJOR … 22 (2014) 2, pp. 355-372

Persistent link: https://www.econbiz.de/10010356907

Optimal switching decisions under stochastic volatility with fast mean reversion

Tsekrekos, Andrianos E.; Yannacopoulos, Athanasios N. - In: European journal of operational research : EJOR 251 (2016) 1, pp. 148-157

Persistent link: https://www.econbiz.de/10011446242

Classical and restricted impulse control for the exchange rate under a stochastic trend model

Runggaldier, Wolfgang J.; Yasuda, Kazuhiro - In: Journal of economic dynamics & control 91 (2018), pp. 369-390

Persistent link: https://www.econbiz.de/10011974210

A threshold type policy for trading a mean-reverting asset with fixed transaction costs

Luu, Phong; Tie, Jingzhi; Zhang, Qing - In: Risks : open access journal 6 (2018) 4, pp. 1-15

A mean-reverting model is often used to capture asset price movements fluctuating around its equilibrium. A common strategy trading such mean-reverting asset is to buy low and sell high. However, determining these key levels in practice is extremely challenging. In this paper, we study the...

Persistent link: https://www.econbiz.de/10011906215

Passive portfolio management over a finite horizon with a target liquidation value under transaction costs and solvency constraints

Baccarin, Stefano; Marazzin, Daniele - In: IMA journal of management mathematics 27 (2016) 4, pp. 471-504

Persistent link: https://www.econbiz.de/10011739919

Voluntary environmental effort under (s,S) inventory policy

Bensoussan, Alain; El Ouardighi, Fouad - In: International journal of production research 62 (2024) 1/2, pp. 522-535

Persistent link: https://www.econbiz.de/10014455155

Optimal exchange rates management using stochastic impulse control for geometric Lévy processes

Wu, Jinbiao - In: Mathematical methods of operations research 89 (2019) 2, pp. 257-280

Persistent link: https://www.econbiz.de/10012010370

An impulse-regime switching game model of vertical competition

Aïd, René; Campi, Luciano; Li, Liangchen; Ludkovski, Mike - In: Dynamic games and applications : DGA 11 (2021) 4, pp. 631-669

Persistent link: https://www.econbiz.de/10012666343

Optimal fee structure of variable annuities

Wang, Gu; Zou, Bin - In: Insurance / Mathematics & economics 101 (2021) 2, pp. 587-601

Persistent link: https://www.econbiz.de/10012793954

Nonzero-sum stochastic games and mean-field games with impulse controls

Basei, Matteo; Cao, Haoyang; Guo, Xin - In: Mathematics of operations research 47 (2022) 1, pp. 341-366

Persistent link: https://www.econbiz.de/10013364867