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Search: subject:"Merton problem"
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Merton problem
19
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14
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14
Theorie
10
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7
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7
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Egriboyun, Feyzullah
2
Resta, Marina
2
Soner, H.
2
Tourin, Agnès
2
Yan, Raphael
2
Avanesyan, Levon
1
Aït-Sahalia, Yacine
1
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1
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1
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1
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1
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1
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1
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ECONIS (ZBW)
18
RePEc
5
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1
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10
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23
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1
Portfolio time consistency and utility weighted discount rates
Mbodji, Oumar
;
Pirvu, Traian A.
- In:
Mathematics and financial economics
19
(
2025
)
2
,
pp. 261-291
Persistent link: https://www.econbiz.de/10015526410
Saved in:
2
Portfolio optimization with feedback strategies based on artificial neural networks
Kopeliovich, Yaacov
;
Pokojovy, Michael
- In:
Finance research letters
69
(
2024
)
2
,
pp. 1-8
Persistent link: https://www.econbiz.de/10015191872
Saved in:
3
Optimal trade execution with unknown drift
Forde, Martin
- In:
Journal of risk : JOR
27
(
2024
)
2
,
pp. 1-11
Persistent link: https://www.econbiz.de/10015652241
Saved in:
4
On the utility maximization of the discrepancy between a perceived and market implied risk neutral distribution
Navratil, Robert
;
Taylor, Stephen
;
Večeř, Jan
- In:
European journal of operational research : EJOR
302
(
2022
)
3
,
pp. 1215-1229
Persistent link: https://www.econbiz.de/10013363847
Saved in:
5
Many-player games of optimal consumption and investment under relative performance criteria
Lacker, Daniel
;
Soret, Agathe
- In:
Mathematics and financial economics
14
(
2020
)
2
,
pp. 263-281
Persistent link: https://www.econbiz.de/10012240274
Saved in:
6
Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem
Avanesyan, Levon
;
Shkolnikov, Mykhaylo
;
Sircar, Kaushik …
- In:
Finance and stochastics
24
(
2020
)
4
,
pp. 981-1011
Persistent link: https://www.econbiz.de/10012518139
Saved in:
7
On the numerical solution of Mertonian control problems : a survey of the markov chain approximation method for the working economist
Ellersgaard, Simon
- In:
Computational economics
54
(
2019
)
3
,
pp. 1179-1211
Persistent link: https://www.econbiz.de/10012134515
Saved in:
8
Singular perturbation expansion for utility maximization with order-ϵ quadratic transaction costs
Chandra, Shiva
;
Papanicolaou, Andrew
- In:
International journal of theoretical and applied finance
22
(
2019
)
7
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012153330
Saved in:
9
The optimal investment problem in stochastic and local volatility models
Piterbarg, Vladimir V.
- In:
The journal of investment strategies
7
(
2018
)
4
,
pp. 1-25
Persistent link: https://www.econbiz.de/10012001989
Saved in:
10
Approximation for portfolio optimization in a financial market with shot-noise jumps
Putyatina, Oleksandra
;
Sass, Jörn
- In:
Computational Management Science : CMS
15
(
2018
)
2
,
pp. 161-186
Persistent link: https://www.econbiz.de/10011876522
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