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"Ito's Lemma" and the Bellman equation for poisson processes : an applied view

Sennewald, Ken; Wälde, Klaus - 2006

optimal consumption-investment problem with labor income. The utility function is unbounded and uncertainty stems from a …

Persistent link: https://www.econbiz.de/10010261427

Application of stochastic optimal control to financial market debt crises

Stein, Jerome L. - 2009

This interdisciplinary paper explains how mathematical techniques of stochastic optimal control can be applied to the recent subprime mortgage crisis. Why did the financial markets fail to anticipate the recent debt crisis, despite the large literature in mathematical finance concerning optimal...

Persistent link: https://www.econbiz.de/10010276757

"Ito's Lemma" and the Bellman equation for Poisson processes: An applied view

Sennewald, Ken; Wälde, Klaus - 2005

Rare and randomly occurring events are important features of the economic world. In continuous time they can easily be modeled by Poisson processes. Analyzing optimal behavior in such a setup requires the appropriate version of the change of variables formula and the Hamilton-Jacobi-Bellman...

Persistent link: https://www.econbiz.de/10010296536

"Itô's Lemma" and the Bellman equation: An applied view

Sennewald, Ken; Wälde, Klaus - 2005

Persistent link: https://www.econbiz.de/10010296792

An integrated CVaR and real options approach to investments in the energy sector

Fortin, Ines; Fuss, Sabine; Hlouskova, Jaroslava; … - 2007

The objective of this paper is to combine a real options framework with portfolio optimization techniques and to apply this new framework to investments in the electricity sector. In particular, a real options model is used to assess the adoption decision of particular technologies under...

Persistent link: https://www.econbiz.de/10010294022

Optimal consumption and portfolio choice under ambiguity for a mean-reverting risk premium in complete markets

Liu, Hening - 2011

are represented by the recursive multiple priors utility model developed by Chen and Epstein (2002). The investor …'s utility depends on both intermediate consumption and terminal wealth. Under the assumption of complete markets, I use the …

Persistent link: https://www.econbiz.de/10010409447

Optimal stopping under ambiguity in continuous time

Riedel, Frank - 2010

We develop a theory of optimal stopping problems under ambiguity in continuous time. Using results from (backward …

Persistent link: https://www.econbiz.de/10010272549

Optimal stopping under ambiguity

Riedel, Frank - 2007

induction fails. If, however, the class of priors is time-consistent, we establish a generalization of the classical theory of … optimal stopping. To this end, we develop first steps of a martingale theory for multiple priors. We define minimax (super …

Persistent link: https://www.econbiz.de/10010272620

On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes

Framstad, Nils Chr. - 2011

This paper considers a sequence of discrete-time random walk markets with a single risky asset, and gives conditions for the existence of arbitrage opportunities or free lunches with vanishing risk, of the form of waiting to buy and selling the next period, with no shorting, and furthermore for...

Persistent link: https://www.econbiz.de/10010330249

Risk Aversion under Preference Uncertainty

Kraeussl, Roman; Lucas, Andre; Siegmann, Arjen - 2010

We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion … may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA …) utility functions. We illustrate the consequences of this result for asset allocation: poor agents that are uncertain about …

Persistent link: https://www.econbiz.de/10010326065