Search Results - subject:"Hamilton–Jacobi–Bellman equation"

The value of insight

Ernst, Philip A.; Rogers, Leonard C. G. - In: Mathematics of operations research 45 (2020) 4, pp. 1193-1209

Persistent link: https://www.econbiz.de/10012319656

Proportional reinsurance and investment in multiple risky assets under borrowing constraint

Yener, Haluk - In: Scandinavian actuarial journal 2020 (2020) 5, pp. 396-418

Persistent link: https://www.econbiz.de/10012262747

Dynamic mean-variance portfolios with risk budget

Luo, Sheng-Feng - In: International journal of theoretical and applied finance 23 (2020) 1, pp. 1-16

Persistent link: https://www.econbiz.de/10012270888

Optimal reinsurance and investment in a diffusion model

Brachetta, Matteo; Schmidli, Hanspeter - In: Decisions in economics and finance : a journal of … 43 (2020) 1, pp. 341-361

Persistent link: https://www.econbiz.de/10012285402

Infinite horizon optimal control of non-convex problems under state constraints

Frankowska, Hélène - In: Advances in mathematical economics 23 (2020), pp. 41-83

Persistent link: https://www.econbiz.de/10012172584

Optimal liquidation trajectories for the Almgren-Chriss model

Løkka, Arne; Xu, Junwei - In: International journal of theoretical and applied finance 23 (2020) 7, pp. 1-35

Persistent link: https://www.econbiz.de/10012496903

Optimal mean-variance portfolio selection with no-short-selling constraint

Xu, Jingsi - In: International journal of theoretical and applied finance 23 (2020) 8, pp. 1-25

Persistent link: https://www.econbiz.de/10012496930

Nonrecursive separation of risk and time preferences

Fahrenwaldt, Matthias; Jensen, Ninna Reitzel; … - In: Journal of mathematical economics 90 (2020), pp. 95-108

Persistent link: https://www.econbiz.de/10012800794

Stochastic optimal control for online seller under reputational mechanisms

Bradonjić, Milan; Causley, Matthew; Cohen, Albert - In: Risks 3 (2015) 4, pp. 553-572

In this work we propose and analyze a model which addresses the pulsing behavior of sellers in an online auction (store). This pulsing behavior is observed when sellers switch between advertising and processing states. We assert that a seller switches her state in order to maximize her profit,...

Persistent link: https://www.econbiz.de/10011709540

Stochastic optimal control for online seller under reputational mechanisms

Bradonjić, Milan; Causley, Matthew; Cohen, Albert - In: Risks : open access journal 3 (2015) 4, pp. 553-572

Persistent link: https://www.econbiz.de/10011402776