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On the adaptation of the Lagrange formalism to continuous time stochastic optimal control : a Lagrange-Chow redux

Ewald, Christian; Nolan, Charles - In: Journal of economic dynamics & control 162 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10015050299

Bubbles and crashes in a behavioural finance model

De Grauwe, Paul; Grimaldi, Marianna - 2004

We develop a simple model of the exchange rate in which agents optimize their portfolio and use different forecasting rules. They check the profitability of these rules ex post and select the more profitable one. This model produces two kinds of equilibria, a fundamental and a bubble one. In a...

Persistent link: https://www.econbiz.de/10011401333

Bubbles and crashes in a behavioural finance model

De Grauwe, Paul; Grimaldi, Marianna - 2004

Persistent link: https://www.econbiz.de/10011585311

Mean-variance portfolio optimization with state-dependent risk aversion

Björk, Tomas; Murgoci, Agatha; Zhou, Xun Yu - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10010256230

Portfolio optimization under partial information with expert opinions

Frey, Rüdiger; Gabih, Abdelali; Wunderlich, Ralf - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10009562133

An explicit solution of a nonlinear-quadratic constrained stochastic control problem with jumps : optimal liquidation in dark pools with adverse selection

Kratz, Peter - In: Mathematics of operations research 39 (2014) 4, pp. 1198-1220

Persistent link: https://www.econbiz.de/10010462146

Closed-form portfolio optimization under GARCH models

Escobar, Marcos; Gollart, Maximilian; Zagst, Rudi - In: Operations research perspectives 9 (2022), pp. 1-13

This paper develops an approximate closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to maximize the expected utility from terminal wealth under a...

Persistent link: https://www.econbiz.de/10012880259

Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model

Gu, Ailing; Viens, Frederi G.; Shen, Yang - In: Scandinavian actuarial journal 2020 (2020) 4, pp. 342-375

Persistent link: https://www.econbiz.de/10012262741

Shortfall risk minimization under fixed transaction costs

Nayman, Niv - In: International journal of theoretical and applied finance 21 (2018) 5, pp. 1-29

Persistent link: https://www.econbiz.de/10011903790

Optimal policy for a time consistent mean-variance model with regime switching

Li, Gang; Chen, Zhiping; Liu, Jia - In: IMA journal of management mathematics 27 (2016) 2, pp. 211-234

Persistent link: https://www.econbiz.de/10011567026