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Survival and growth with a fixed liability : optimal portfolio strategies in continuous time

Browne, Sid - 1995

Persistent link: https://www.econbiz.de/10001499017

A singular stochastic control approach for optimal pairs trading with proportional transaction costs

Xing, Haipeng - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-23

Optimal trading strategies for pairs trading have been studied by models that try to find either optimal shares of stocks by assuming no transaction costs or optimal timing of trading fixed numbers of shares of stocks with transaction costs. To find optimal strategies that determine optimally...

Persistent link: https://www.econbiz.de/10013168724

A perturbation approach to optimal investment, liability ratio, and dividend strategies

Zhuo, Jin; Xu, Zuo Quan; Zou, Bin - In: Scandinavian actuarial journal 2022 (2022) 2, pp. 165-188

Persistent link: https://www.econbiz.de/10012872656

Time-inconsistent Markovian control problems under model uncertainty with application to the mean-variance portfolio selection

Bielecki, Tomasz R.; Chen, Tao; Cialenco, Igor - In: International journal of theoretical and applied finance 24 (2021) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10012650186

Sharing of longevity basis risk in pension schemes with income-drawdown guarantees

Agarwal, Ankush; Ewald, Christian; Wang, Yongjie - 2020

Persistent link: https://www.econbiz.de/10012661294

A simple and nearly optimal investment strategy to minimize the probability of lifetime ruin

Liang, Xiaoqing; Young, Virginia R. - In: ASTIN bulletin : the journal of the International … 52 (2022) 2, pp. 619-643

Persistent link: https://www.econbiz.de/10013270079

Optimal bookmaking

Loring, Matthew; Zhou, Zhou; Zou, Bin - In: European journal of operational research : EJOR 295 (2021) 2, pp. 560-574

Persistent link: https://www.econbiz.de/10013205968

A BSDE-based approach for the optimal reinsurance problem under partial information

Brachetta, M.; Ceci, C. - In: Insurance / Mathematics & economics 95 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012419211

Robust optimal investment and reinsurance problems with learning

Bäuerle, Nicole; Leimcke, Gregor - In: Scandinavian actuarial journal 2021 (2021) 2, pp. 82-109

Persistent link: https://www.econbiz.de/10012500254

Portfolio liquidation under factor uncertainty

Horst, Ulrich; Xia, Xiaonyu; Zhou, Chao - 2021

We study an optimal liquidation problem under the ambiguity with respect to price impact parameters. Our main results show that the value function and the optimal trading strategy can be characterized by the solution to a semi-linear PDE with superlinear gradient, monotone generator and singular...

Persistent link: https://www.econbiz.de/10012500352