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Search: subject:"HJB Equation"
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HJB equation
113
Theorie
56
Theory
56
Portfolio selection
50
Portfolio-Management
49
Stochastic process
39
Stochastischer Prozess
39
Mathematical programming
22
Mathematische Optimierung
22
Markov chain
21
Risiko
19
Risk
19
Markov-Kette
18
Control theory
16
Kontrolltheorie
16
Option pricing theory
15
Optionspreistheorie
15
Reinsurance
15
Risikomodell
14
Risk model
14
Rückversicherung
14
Hamilton-Jacobi-Bellman (HJB) equation
13
Dividend
11
Dynamic programming
11
Dividende
10
Dynamische Optimierung
10
Game theory
10
Optimal control
10
Regime-switching
10
Risikomanagement
10
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10
Spieltheorie
10
Volatility
8
Volatilität
8
Nutzen
7
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7
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7
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7
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6
Probability theory
6
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Undetermined
97
Free
33
CC license
5
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Article
137
Book / Working Paper
18
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Article in journal
95
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95
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10
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7
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English
113
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42
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Siu, Tak Kuen
7
Zhou, Ming
7
Forsyth, Peter
6
Shen, Yang
5
Zhao, Hui
5
Eisenberg, Julia
4
Fabrykowski, Lukas
4
Guo, Junyi
4
Rong, Ximin
4
Schmeck, Maren Diane
4
Bian, Baojun
3
Bo, Lijun
3
Eriksson, Marcus
3
Escobar, Marcos
3
Ferrari, Giorgio
3
Keller, Godfrey
3
Lempa, Jukka
3
Ma, Guiyuan
3
Rady, Sven
3
Schuhmann, Patrick
3
Zhang, Xiaoyi
3
Zhu, Shihao
3
Zhu, Song-Ping
3
Alwardi, H.
2
Bai, Lihua
2
Bäuerle, Nicole
2
Cai, Jun
2
Chen, Xinfu
2
Guo, Wenjing
2
Guo, Xianping
2
Hessing, Jean-Claude
2
Hu, Yijun
2
Huang, Yonghui
2
Insley, Margaret
2
Jennings, L.
2
Kato, Takashi
2
Kharroubi, Idris
2
Landriault, David
2
Lange, Rutger-Jan
2
Langrené, Nicolas
2
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HAL
2
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
2
London School of Economics (LSE)
1
Society for Computational Economics - SCE
1
Université Paris-Dauphine (Paris IX)
1
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Insurance / Mathematics & economics
15
Insurance: Mathematics and Economics
10
Risks : open access journal
6
International journal of theoretical and applied finance
5
Computational economics
4
Finance and stochastics
4
International Journal of Theoretical and Applied Finance (IJTAF)
4
Risks
4
Computational Statistics
3
Economic modelling
3
Finance and Stochastics
3
Mathematical Methods of Operations Research
3
Mathematics and financial economics
3
Mathematics of operations research
3
The North American journal of economics and finance : a journal of financial economics studies
3
Astin bulletin : the journal of the International Actuarial Association
2
Center for Mathematical Economics Working Papers
2
Economic Modelling
2
International journal of financial engineering
2
Journal of Economic Dynamics and Control
2
Journal of Global Optimization
2
Journal of economic dynamics & control
2
Journal of mathematical finance
2
MPRA Paper
2
Mathematical finance : an international journal of mathematics, statistics and financial economics
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
Operations research letters
2
Quantitative finance
2
Scandinavian actuarial journal
2
The journal of computational finance
2
Working Papers / HAL
2
Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW)
2
ASTIN bulletin : the journal of the International Actuarial Association
1
Annals of Finance
1
Annals of economics and finance
1
Annals of finance
1
Annals of financial economics
1
Applied economics
1
Asia Pacific financial markets
1
Asia-Pacific Financial Markets
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ECONIS (ZBW)
102
RePEc
43
EconStor
10
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81
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81
Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty
Bulthuis, Brian
;
Concha, Julio
;
Leung, Tim
;
Ward, Brian
- In:
International journal of financial engineering
4
(
2017
)
2/3
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011777847
Saved in:
82
A class of nonzero-sum investment and reinsurance games subject to systematic risks
Siu, Chi Chung
;
Yam, Sheung Chi Phillip
;
Yang, Hailiang
; …
- In:
Scandinavian actuarial journal
(
2017
)
8
,
pp. 670-707
Persistent link: https://www.econbiz.de/10011848596
Saved in:
83
Better than pre-commitment mean-variance portfolio allocation strategies : a semi-self-financing Hamilton-Jacobi-Bellman equation approach
Dang, Duy Minh
;
Forsyth, Peter
- In:
European journal of operational research : EJOR
250
(
2016
)
3
,
pp. 827-841
Persistent link: https://www.econbiz.de/10011445336
Saved in:
84
Optimal portfolio liquidation with additional information
Ankirchner, Stefan
;
Blanchet-Scalliet, Christophette
; …
- In:
Mathematics and financial economics
10
(
2016
)
1
,
pp. 1-14
Persistent link: https://www.econbiz.de/10011445989
Saved in:
85
On optimal options book execution strategies with market impact
Kalife, Aymeric
;
Mouti, Saad
- In:
Market microstructure and liquidity
2
(
2016
)
3/4
,
pp. 1-40
Persistent link: https://www.econbiz.de/10011715825
Saved in:
86
Continuous-time Markowitz's model with constraints on wealth and portfolio
Li, Xun
;
Xu, Zuo Quan
- In:
Operations research letters
44
(
2016
)
6
,
pp. 729-736
Persistent link: https://www.econbiz.de/10011622222
Saved in:
87
Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous-time mean-variance asset allocation under stochastic volatility
Ma, K.
;
Forsyth, Peter
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011639504
Saved in:
88
Utility indifference valuation of corporate bond with credit rating migration by structure approach
Liang, Jin
;
Zhao, Yuejuan
;
Zhang, Xudan
- In:
Economic modelling
54
(
2016
),
pp. 339-346
Persistent link: https://www.econbiz.de/10011642188
Saved in:
89
Optimal reinsurance under dynamic VaR constraint
Zhang, Nan
;
Jin, Zhuo
;
Li, Shuanming
;
Chen, Ping
- In:
Insurance / Mathematics & economics
71
(
2016
),
pp. 232-243
Persistent link: https://www.econbiz.de/10011630794
Saved in:
90
A pair of optimal reinsurance-investment strategies in the two-sided exit framework
Landriault, David
;
Li, Bin
;
Li, Danping
;
Li, Dongchen
- In:
Insurance / Mathematics & economics
71
(
2016
),
pp. 284-294
Persistent link: https://www.econbiz.de/10011630846
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