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A NOTE ON THE EFFECTS OF TAXES ON OPTIMAL INVESTMENT

Buescu, Cristin; Cadenillas, Abel; Pliska, Stanley R. - In: Mathematical Finance 17 (2007) 4, pp. 477-485

Persistent link: https://www.econbiz.de/10005023772

EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING

Sotomayor, Luz Rocío; Cadenillas, Abel - In: Mathematical Finance 19 (2009) 2, pp. 251-279

Persistent link: https://www.econbiz.de/10005023780

Optimal Investment and Risk Control Problem for an Insurer: Expected Utility Maximization

Zou, Bin; Cadenillas, Abel - arXiv.org - 2014

Motivated by the AIG bailout case in the financial crisis of 2007-2008, we consider an insurer who wants to maximize the expected utility of the terminal wealth by selecting optimal investment and risk control strategies. The insurer's risk process is modelled by a jump-diffusion process and is...

Persistent link: https://www.econbiz.de/10010750248

Consumption-investment problems with transaction costs: Survey and open problems

Cadenillas, Abel - In: Mathematical methods of operations research 51 (2000) 1, pp. 43-68

Persistent link: https://www.econbiz.de/10006625147

Leverage decision and manager compensation with choice of effort and volatility

Cadenillas, Abel; Cvitanic, Jaksa; Zapatero, Fernando - In: Journal of financial economics 73 (2004) 1, pp. 71-92

Persistent link: https://www.econbiz.de/10006503956

Optimal Control of a Mean-Reverting Inventory

Cadenillas, Abel; Lakner, Peter; Pinedo, Michael - In: Operations research : the journal of the Operations … 58 (2010) 6, pp. 1697-1711

Persistent link: https://www.econbiz.de/10008770899

Classical and Impulse Stochastic Control of the Exchange Rate Using Interest Rates and Reserves

Cadenillas, Abel; Zapatero, Fernando - In: Mathematical finance : an international journal of … 10 (2000) 2, pp. 141-156

Persistent link: https://www.econbiz.de/10008217835

Optimal trading of a security when there are taxes and transaction costs

Cadenillas, Abel; Pliska, Stanley R. - In: Finance and stochastics 3 (1999) 2, pp. 137-166

Persistent link: https://www.econbiz.de/10008218079

A NOTE ON THE EFFECTS OF TAXES ON OPTIMAL INVESTMENT

Buescu, Cristin; Cadenillas, Abel; Pliska, Stanleyr - In: Mathematical finance : an international journal of … 17 (2007) 4, pp. 477-486

Persistent link: https://www.econbiz.de/10008221614

OPTIMAL DIVIDEND POLICY WITH MEAN-REVERTING CASH RESERVOIR

Cadenillas, Abel; Sarkar, Sudipto; Zapatero, Fernando - In: Mathematical finance : an international journal of … 17 (2007) 1, pp. 81-110

Persistent link: https://www.econbiz.de/10008222124