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A theory of Markovian time-inconsistent stochastic control in discrete time

Björk, Tomas; Murgoci, Agatha - In: Finance and stochastics 18 (2014) 3, pp. 545-592

Persistent link: https://www.econbiz.de/10010396002

Expected log-utility maximization under incomplete information and with Cox-process observations

Fujimoto, Kazufumi; Nagai, Hideo; Runggaldier, Wolfgang J. - In: Asia-Pacific financial markets 21 (2014) 1, pp. 35-66

Persistent link: https://www.econbiz.de/10010358462

A finite-horizon optimal investment and consumption problem using regime-switching models

Liu, Rui Hua - In: International journal of theoretical and applied finance 17 (2014) 4, pp. 1-18

Persistent link: https://www.econbiz.de/10010391500

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

Risk management of interest rate derivative portfolios : a stochastic control approach

Kiriakopoulos, Konstantinos; Koulis, Alexandros - In: Journal of risk and financial management : JRFM 7 (2014) 4, pp. 130-149

In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic portfolio optimization problem. The utility that we use can be any continuous function and based on the viscosity theory, the unique solution of the problem is guaranteed. The...

Persistent link: https://www.econbiz.de/10011552973