Search Results - subject:"Martingale method"

Optimal investment strategy for DC pension with mean-weighted variance-CVaR criterion under partial information

Peng, Xingchun; Luo, Liuling - In: Insurance : mathematics and economics 120 (2025), pp. 302-324

Persistent link: https://www.econbiz.de/10015431900

Optimal management of DC pension fund under the relative performance ratio and VaR constraint

Guan, Guohui; Liang, Zongxia; Xia, Yi - In: European journal of operational research : EJOR 305 (2023) 2, pp. 868-886

Persistent link: https://www.econbiz.de/10013479338

Annuity and insurance choice under habit formation

Boyle, Phelim P.; Ken Seng Tan; Wei, Pengyu; Zhuang, … - In: Insurance 105 (2022), pp. 211-237

Persistent link: https://www.econbiz.de/10013349013

Optimal Consumption and Investment under Time-Varying Liquidity Constraints

Ahn, Seryoong - 2017

reality. We first develop a martingale method to analyze the case in which the borrowing limit is specified by the debt …

Persistent link: https://www.econbiz.de/10012973620

Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics

Junca, Mauricio; Serrano, Rafael - In: Mathematics and financial economics 15 (2021) 4, pp. 775-809

Persistent link: https://www.econbiz.de/10012616858

Dynamic portfolio strategy by loss-averse fund managers facing performance-induced fund flows

Sheng, Jiliang; Xu, Si; An, Yunbi; Yang, Jun - In: International review of financial analysis 73 (2021), pp. 1-24

Persistent link: https://www.econbiz.de/10012803449

Optimal life-cycle consumption and investment decisions under age-dependent risk preferences

Lichtenstern, Andreas; Shevchenko, Pavel V.; Zagst, Rudi - In: Mathematics and financial economics 15 (2021) 2, pp. 275-313

Persistent link: https://www.econbiz.de/10012500025

Suboptimal investment behavior and welfare costs : a simulation based approach

Castañeda, Pablo; Reus, Lorenzo - In: Finance research letters 30 (2019), pp. 170-180

Persistent link: https://www.econbiz.de/10012420392

Stochastic utilities with subsistence and satiation : optimal life insurance purchase, consumption and investment

Ye, Jinchun - In: Insurance 89 (2019), pp. 193-212

Persistent link: https://www.econbiz.de/10012133531

Optimal consumption and investment with labor income and European/American capital guarantee

Kronborg, Morten Tolver - In: Risks 2 (2014) 2, pp. 171-194

We present the optimal consumption and investment strategy for an investor, endowed with labor income, searching to maximize utility from consumption and terminal wealth when facing a binding capital constraint of a European (constraint on terminal wealth) or an American (constraint on the...

Persistent link: https://www.econbiz.de/10010421273