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Optimal design of private and occupational retirement plans : cumulative doctoral thesis

Rach, Manuel Matthias - 2020

Persistent link: https://www.econbiz.de/10012384004

An explicit solution for a portfolio selection problem with stochastic volatility

Sandjo, Albert Nana; Colin, Fabrice; Moutari, Salissou - In: Journal of mathematical finance 7 (2017) 1, pp. 199-218

Persistent link: https://www.econbiz.de/10011658467

On regularized optimal execution problems and their singular limits

Souza, Max O.; Thamsten, Y. - In: Applied mathematical finance 29 (2022) 2, pp. 79-109

Persistent link: https://www.econbiz.de/10013554788

The SEV-SV model : applications in portfolio optimization

Escobar, Marcos; Fan, Weili - In: Risks : open access journal 11 (2023) 2, pp. 1-34

optimization. The diffusion model combines (stochastic) elasticity of volatility (EV) and stochastic volatility (SV) to create the … within expected utility theory (EUT) for incomplete markets, producing closed-form representations for the optimal strategy … reverts to a GBM model, the volatility and speed of reversion of the EV have a strong impact on optimal allocations, and more …

Persistent link: https://www.econbiz.de/10014234313

A polynomial-affine approximation for dynamic portfolio choice

Zhu, Yichen; Escobar, Marcos; Davison, Matt - In: Computational economics 62 (2023) 3, pp. 1177-1213

Persistent link: https://www.econbiz.de/10014382894

Age-dependent robust strategic asset allocation with inflation-deflation hedging demand

Kikuchi, Kentaro; Kusuda, Koji - In: Mathematics and financial economics 18 (2024) 4, pp. 641-670

Persistent link: https://www.econbiz.de/10015189217

The costs of suboptimal dynamic asset allocation : general results and applications to interest rate risk, stock volatility risk, and growth/value tilts

Larsen, Linda Sandris; Munk, Claus - In: Journal of economic dynamics & control 36 (2012) 2, pp. 266-293

Persistent link: https://www.econbiz.de/10009489609

When do jumps matter for portfolio optimization?

Ascheberg, Marius; Branger, Nicole; Kraft, Holger - 2013 - This version: April 29, 2013

We consider the continuous-time portfolio optimization problem of an investor with constant relative risk aversion who maximizes expected utility of terminal wealth. The risky asset follows a jump-diffusion model with a diffusion state variable. We propose an approximation method that replaces...

Persistent link: https://www.econbiz.de/10010225880

Utility maximization in affine stochastic volatility models

Kallsen, Jan; Muhle-Karbe, Johannes - In: International journal of theoretical and applied finance 13 (2010) 3, pp. 459-477

Persistent link: https://www.econbiz.de/10008904356

Earning the right premium on the right factor in portfolio planning

Branger, Nicole; Hansis, Alexandra - In: Journal of banking & finance 59 (2015), pp. 367-383

Persistent link: https://www.econbiz.de/10011544589