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Optimal dividends and ALM under unhedgeable risk

Pelsser, Antoon André Jean; Laeven, Roger J. A. - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 515-523

Persistent link: https://www.econbiz.de/10010227973

Comparison of mean variance like strategies for optimal asset allocation problems

Wang, J.; Forsyth, Peter - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-32

Persistent link: https://www.econbiz.de/10009624512

Continuously controlled options : derivatives with added flexibility

Dokučaev, Nikolaj G. - In: International journal of theoretical and applied finance 16 (2013) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10009725089

Optimal investment and consumption with default risk : HARA utility

Bo, Lijun; Li, Xindan; Wang, Yongjin; Yang, Xuewei - In: Asia-Pacific financial markets 20 (2013) 3, pp. 261-281

Persistent link: https://www.econbiz.de/10010188303

Optimal execution of a VWAP order : a stochastic control approach

Frei, Christoph; Westray, Nicholas - In: Mathematical finance : an international journal of … 25 (2015) 3, pp. 612-639

Persistent link: https://www.econbiz.de/10011350559

On the smoothness of value functions and the existence of optimal strategies in diffusion models

Strulovici, Bruno; Szydlowski, Martin - In: Journal of economic theory 159 (2015), pp. 1016-1055

Persistent link: https://www.econbiz.de/10011549304

The role of inflation-indexed bond in optimal management of defined contribution pension plan during the decumulation phase

Zhang, Xiaoyi; Guo, Junyi - In: Risks : open access journal 6 (2018) 2, pp. 1-16

This paper investigates the optimal investment strategy for a defined contribution (DC) pension plan during the decumulation phase which is risk-averse and pays close attention to inflation risk. The plan aims to maximize the expected constant relative risk aversion (CRRA) utility from the...

Persistent link: https://www.econbiz.de/10011811720

Optimal dividends under Markov-modulated bankruptcy level

Ferrari, Giorgio; Schuhmann, Patrick; Zhu, Shihao - In: Insurance / Mathematics & economics 106 (2022), pp. 146-172

Persistent link: https://www.econbiz.de/10013380501

Optimization of stochastic production-inventory model for deteriorating items in a definite cycle using Hamilton-Jacobi-Bellman equation

Hau, Bui Minh; Kim, Hwan-Seong; Le Ngoc Bao Long; You, … - In: LogForum : elektroniczne czasopismo naukowe z dziedziny … 18 (2022) 4, pp. 397-411

Persistent link: https://www.econbiz.de/10013479359

A class of portfolio optimization solvable problems

Cheng, Yuyang; Escobar, Marcos - In: Finance research letters 52 (2023), pp. 1-10

Persistent link: https://www.econbiz.de/10014472208