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Search: subject:"Hamilton–Jacobi–Bellman (HJB) equation"
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Hamilton-Jacobi-Bellman (HJB) equation
13
Portfolio selection
8
Portfolio-Management
8
Stochastic process
8
Stochastischer Prozess
8
Theorie
7
Theory
7
Mathematical programming
5
Mathematische Optimierung
5
Volatility
5
Volatilität
5
Hamilton–Jacobi–Bellman (HJB) equation
4
Control theory
3
Investment
3
Kontrolltheorie
3
Market impact
3
Nutzenfunktion
3
Option pricing theory
3
Optionspreistheorie
3
Risikoaversion
3
Risk aversion
3
Utility function
3
Excess-of-loss reinsurance
2
Heston model
2
Liquidity problems
2
Markov chain
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Nutzen
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Optimal execution
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Optimal investment and consumption
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Optimal investment and consumption problem
2
Reinsurance
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Risikomodell
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Risk model
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Rückversicherung
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Stochastic volatility
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Utility
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Viscosity solutions
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regime-switching model
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stochastic control
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-Nash equilibrium
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Undetermined
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English
15
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Ma, Guiyuan
3
Zhao, Hui
3
Zhu, Song-Ping
3
Kato, Takashi
2
Rong, Ximin
2
Zhao, Yonggan
2
Chen, Peimin
1
Ching, Wai Ki
1
Edoli, Enrico
1
Ehrhardt, Matthias
1
Federico, Salvatore
1
Forsyth, Peter
1
Gallana, Marco
1
Gu, Jiawen
1
Günther, Michael
1
He, Yong
1
Kang, Boda
1
Kossaczký, Igor
1
LIU, R. H.
1
Landriault, David
1
Li, Bin
1
Li, Danping
1
Li, Dongchen
1
Liu, Rui Hua
1
Ma, K.
1
Perera, Ryle S.
1
Siu, Chi Chung
1
Siu, Tak Kuen
1
Vargiolu, Tiziano
1
Wang, Xiaoyang
1
Yam, Sheung Chi Phillip
1
Yang, Hailiang
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Yang, Qing-Qing
1
Zhou, Xia
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Computational economics
2
Finance and stochastics
2
Insurance / Mathematics & economics
2
The journal of computational finance
2
Decisions in economics and finance : a journal of applied mathematics
1
Finance and Stochastics
1
Insurance: Mathematics and Economics
1
International Journal of Theoretical and Applied Finance (IJTAF)
1
International journal of financial engineering
1
International journal of theoretical and applied finance
1
Quantitative finance
1
Scandinavian actuarial journal
1
The North American journal of economics and finance : a journal of financial economics studies
1
The journal of energy markets
1
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ECONIS (ZBW)
15
RePEc
3
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1
An analytical solution for the robust investment-reinsurance strategy with general utilities
He, Yong
;
Zhou, Xia
;
Chen, Peimin
;
Wang, Xiaoyang
- In:
The North American journal of economics and finance : a …
63
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014225734
Saved in:
2
Revisiting the Merton problem : from HARA to CARA utility
Ma, Guiyuan
;
Zhu, Song-Ping
- In:
Computational economics
59
(
2022
)
2
,
pp. 651-686
Persistent link: https://www.econbiz.de/10013169029
Saved in:
3
Trading strategy with stochastic volatility in a limit order book market
Yang, Qing-Qing
;
Ching, Wai Ki
;
Gu, Jiawen
;
Siu, Tak Kuen
- In:
Decisions in economics and finance : a journal of …
43
(
2020
)
1
,
pp. 277-301
Persistent link: https://www.econbiz.de/10012285400
Saved in:
4
A numerical solution of optimal portfolio selection problem with general utility functions
Ma, Guiyuan
;
Zhu, Song-Ping
;
Kang, Boda
- In:
Computational economics
55
(
2020
)
3
,
pp. 957-981
Persistent link: https://www.econbiz.de/10012223689
Saved in:
5
Provisions for bank deposit withdrawals and portfolio selection
Perera, Ryle S.
- In:
International journal of financial engineering
7
(
2020
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10012602666
Saved in:
6
Optimal investment and consumption under a continuous-time cointegration model with exponential utility
Ma, Guiyuan
;
Zhu, Song-Ping
- In:
Quantitative finance
19
(
2019
)
7
,
pp. 1135-1149
Persistent link: https://www.econbiz.de/10012194749
Saved in:
7
The two-dimensional tree-grid method
Kossaczký, Igor
;
Ehrhardt, Matthias
;
Günther, Michael
- In:
The journal of computational finance
23
(
2019
)
2
,
pp. 29-57
Persistent link: https://www.econbiz.de/10012111259
Saved in:
8
Optimal intraday power trading with a Gaussian additive process
Edoli, Enrico
;
Gallana, Marco
;
Vargiolu, Tiziano
- In:
The journal of energy markets
10
(
2017
)
4
,
pp. 23-42
Persistent link: https://www.econbiz.de/10011999469
Saved in:
9
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:
10
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:
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