Search Results - subject:"HJB Equation"

International investment with exchange rate risk

Fei, Chen; Fei, Weiyin; Rui, Yayun; Yan, Litan - In: Asia-Pacific journal of accounting & economics : … 28 (2021) 2, pp. 225-241

Persistent link: https://www.econbiz.de/10012440113

Optimal investment and reinsurance policies for an insurer with ambiguity aversion

Liu, Bing; Meng, Hui; Zhou, Ming - In: The North American journal of economics and finance : a … 55 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10012667528

Risk-sensitive asset management with lognormal interest rates

Hata, Hiroaki - In: Asia Pacific financial markets 28 (2021) 2, pp. 169-206

Persistent link: https://www.econbiz.de/10012542737

An optimal Turkish private pension plan with a guarantee feature

İşcanog̃lu-Çekiç, Ayşegül - In: Risks 4 (2016) 3, pp. 1-12

The Turkish Private Pension System is an investment system which aims to generate income for future consumption. This is a volunteer system, and the contributions are held in individual portfolios. Therefore, management of the funds is an important issue for both the participants and the...

Persistent link: https://www.econbiz.de/10011709567

An optimal Turkish private pension plan with a guarantee feature

İşcanoğlu Çekiç, Ayşegül - In: Risks : open access journal 4 (2016) 3, pp. 1-12

Persistent link: https://www.econbiz.de/10011507764

Optimal investment-consumption problem : post-retirement with minimum guarantee

Dadashi, Hassan - In: Insurance / Mathematics & economics 94 (2020), pp. 160-181

Persistent link: https://www.econbiz.de/10012419200

The impact of savings withdrawals on a banker's capital holdings subject to Basel III accord

Perera, Ryle S.; Sato, Kimitoshi - In: Annals of financial economics 15 (2020) 2, pp. 1-30

Persistent link: https://www.econbiz.de/10012642961

Optimal dividend and capital injection strategy with a penalty payment at ruin : restricted dividend payments

Xu, Ran; Woo, Jae-Kyung - In: Insurance / Mathematics & economics 92 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012242033

Optimal asset allocation for DC pension decumulation with a variable spending rule

Forsyth, Peter; Vetzal, Kenneth R.; Westmacott, Graham - In: ASTIN bulletin : the journal of the International … 50 (2020) 2, pp. 419-447

Persistent link: https://www.econbiz.de/10012243346

Optimal portfolio choice under shadow costs with fixed assets when time-horizon is uncertain

Bellalah, Mondher; Zhang, Detao; Zhang, Panpan - In: Computational economics 56 (2020) 1, pp. 5-20

Persistent link: https://www.econbiz.de/10012272014