Search Results - subject:"Continuous-time stochastic control"

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Optimal insurance contracts for a shot-noise Cox claim process and persistent insured's actions

Liu, Wenyue; Cadenillas, Abel - In: Insurance / Mathematics & economics 109 (2023), pp. 69-93

Persistent link: https://www.econbiz.de/10014282470

Economic and financial modeling techniques in the frequency domain

Taub, Bart - In: Economic theory bulletin 7 (2019) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10012108598

Investment strategies and compensation of a mean–variance optimizing fund manager

Aivaliotis, Georgios; Palczewski, Jan - In: European Journal of Operational Research 234 (2014) 2, pp. 561-570

This paper introduces a general continuous-time mathematical framework for solution of dynamic mean–variance control problems. We obtain theoretical results for two classes of functionals: the first one depends on the whole trajectory of the controlled process and the second one is based on...

Persistent link: https://www.econbiz.de/10010730159

Investment strategies and compensation of mean-variance optimizing fund manager

Aivaliotis, Georgios; Palczewski, Jan - In: European journal of operational research : EJOR 234 (2014) 2, pp. 561-570

Persistent link: https://www.econbiz.de/10010358401

Inconspicuousness and obfuscation : how large shareholders dynamically manipulate output and information for trading purposes

Taub, Bart - In: Annals of finance 14 (2018) 4, pp. 429-464

Persistent link: https://www.econbiz.de/10012268311