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Optimal consumption and investment with bankruptcy

Sethi, Suresh P. - 1997

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Multi-asset worst-case optimal portfolios

Korn, Ralf; Leoff, Elisabeth - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-24

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Optimal investment under dual risk model and Markov modulated financial market

Xu, Lin; Zhang, Liming; Zhu, Dongjin - In: Journal of mathematical finance 5 (2015) 2, pp. 157-171

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Optimal investment and reinsurance for an insurer under Markov-modulated financial market

Xu, Lin; Zhang, Liming; Yao, Dingjun - In: Insurance / Mathematics & economics 74 (2017), pp. 7-19

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Mean-variance portfolio selection in a jump-diffusion financial market with common shock dependence

Tian, Yingxu; Sun, Zhongyang - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-12

This paper considers the optimal investment problem in a financial market with one risk-free asset and one jump-diffusion risky asset. It is assumed that the insurance risk process is driven by a compound Poisson process and the two jump number processes are correlated by a common shock. A...

Persistent link: https://www.econbiz.de/10011857001

Approximation for portfolio optimization in a financial market with shot-noise jumps

Putyatina, Oleksandra; Sass, Jörn - In: Computational Management Science : CMS 15 (2018) 2, pp. 161-186

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Better than pre-commitment mean-variance portfolio allocation strategies : a semi-self-financing Hamilton-Jacobi-Bellman equation approach

Dang, Duy Minh; Forsyth, Peter A. - In: European journal of operational research : EJOR 250 (2016) 3, pp. 827-841

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Asset allocation under stochastic interest rate with regime switching

Shen, Yang; Siu, Tak Kuen - In: Economic modelling 29 (2012) 4, pp. 1126-1136

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Comparison of mean variance like strategies for optimal asset allocation problems

Wang, J.; Forsyth, Peter A. - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-32

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Optimal investment and reinsurance policies for an insurer with ambiguity aversion

Liu, Bing; Meng, Hui; Zhou, Ming - In: The North American journal of economics and finance : a … 55 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10012667528