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Dynamic portfolio optimization with transaction costs and state-dependent drift
Palczewski, Jan; Poulsen, Rolf; Schenk-Hoppé, Klaus Reiner - In: European journal of operational research : EJOR 243 (2015) 3, pp. 921-931
Persistent link: https://www.econbiz.de/10010513816
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A general method for analysis and valuation of drawdown risk
Zhang, Gongqiu; Li, Lingfei - In: Journal of economic dynamics & control 152 (2023), pp. 1-37
Persistent link: https://www.econbiz.de/10014427618
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Delegated portfolio management - optimal portfolio policies under compensation, capital flow and price influence
Kremer, Andreas - 2013
This work investigates the intertemporal portfolio optimization of professional portfolio managers. It analyzes whether the special conditions of delegation in which portfolio managers make investment decisions - compensation depending on assets under management, capital flow depending on past...
Persistent link: https://www.econbiz.de/10009707695
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Approximating the solution of stochastic optimal control problems and the Merton's portfolio selection model
Kafash, Behzad - In: Computational economics 54 (2019) 2, pp. 763-782
Persistent link: https://www.econbiz.de/10012134353
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Effective algorithms for optimal portfolio deleveraging problem with cross impact
Luo, Hezhi; Chen, Yuanyuan; Zhang, Xianye; Li, Duan; … - In: Mathematical finance : an international journal of … 34 (2024) 1, pp. 36-89
Persistent link: https://www.econbiz.de/10014471144
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A hybrid deep learning method for optimal insurance strategies : algorithms and convergence analysis
Zhuo, Jin; Yang, Hailiang; Yin, George G. - In: Insurance / Mathematics & economics 96 (2021), pp. 262-275
Persistent link: https://www.econbiz.de/10012482892
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Optimal insurance strategies : a hybrid deep learning Markov chain approximation approach
Cheng, Xiang; Zhuo, Jin; Yang, Hailiang - In: ASTIN bulletin : the journal of the International … 50 (2020) 2, pp. 449-477
Persistent link: https://www.econbiz.de/10012243372
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Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation
Meier, Christian; Li, Lingfei; Zhang, Gongqiu - In: European journal of operational research : EJOR 305 (2023) 3, pp. 1292-1308
Persistent link: https://www.econbiz.de/10013498792
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Convergence of infinitesimal generators and stability of convex monotone semigroups
Blessing, Jonas; Kupper, Michael; Nendel, Max - 2023
rely on the theory of viscosity solutions but use a recent comparison principle which uniquely determines the semigroup via …
Persistent link: https://www.econbiz.de/10014284976
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The art of temporal approximation : an investigation into numerical solutions to discrete & continuous-time problems in economics
Eslami, Keyvan; Phelan, Thomas M. - 2023
Persistent link: https://www.econbiz.de/10014295510