Search Results - subject:"HJB Equation"

Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting

Delong, Łukasz; Chen, An - In: Insurance / Mathematics & economics 71 (2016), pp. 342-352

Persistent link: https://www.econbiz.de/10011630868

Consumption-investment problem with transaction costs for Lévy-driven price processes

Vallière, Dimitri De; Kabanov, Jurij M.; Lépinette, … - In: Finance and stochastics 20 (2016) 3, pp. 705-740

Persistent link: https://www.econbiz.de/10011531437

Turnpike property and convergence rate for an investment model with general utility functions

Bian, Baojun; Zheng, Harry - In: Journal of Economic Dynamics and Control 51 (2015) C, pp. 28-49

equation and give a representation of the solution in terms of the dual function of the solution to the dual HJB equation. We … positive answers to both questions. To achieve these results, we first show that there is a classical solution to the HJB …

Persistent link: https://www.econbiz.de/10011190652

Portfolio selection by minimizing the present value of capital injection costs

Zhou, Ming; Yuen, Kam Chuen - In: Astin bulletin : the journal of the International … 45 (2015) 1, pp. 207-238

Persistent link: https://www.econbiz.de/10010506423

Turnpike property and convergence rate for an investment model with general utility functions

Bian, Baojun; Zheng, Harry - In: Journal of economic dynamics & control 51 (2015), pp. 28-49

Persistent link: https://www.econbiz.de/10011474258

On minimizing drawdown risks of lifetime investments

Chen, Xinfu; Landriault, David; Li, Bin; Li, Dongchen - In: Insurance / Mathematics & economics 65 (2015), pp. 46-54

Persistent link: https://www.econbiz.de/10011422864

Minimization of absolute ruin probability under negative correlation assumption

Liang, Zongxia; Long, Mingsi - In: Insurance / Mathematics & economics 65 (2015), pp. 247-258

Persistent link: https://www.econbiz.de/10011428668

Optimal investment under dual risk model and Markov modulated financial market

Xu, Lin; Zhang, Liming; Zhu, Dongjin - In: Journal of mathematical finance 5 (2015) 2, pp. 157-171

Persistent link: https://www.econbiz.de/10011398985

Portfolio optimization in a defaultable Lévy-driven market model

Pagliarani, Stefano; Vargiolu, Tiziano - In: OR spectrum : quantitative approaches in management 37 (2015) 3, pp. 617-654

Persistent link: https://www.econbiz.de/10011296739

Optimal execution of a VWAP order : a stochastic control approach

Frei, Christoph; Westray, Nicholas - In: Mathematical finance : an international journal of … 25 (2015) 3, pp. 612-639

Persistent link: https://www.econbiz.de/10011350559