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Near-optimal asset allocation in financial markets with trading constraints

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A class of portfolio optimization solvable problems

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

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Rectangular sets of probability measures

Shapiro, Alexander - In: Operations research 64 (2016) 2, pp. 528-541

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Optimal investment and risk control for an insurer with stochastic factor

Bo, Lijun; Wang, Shihua - In: Operations research letters 45 (2017) 3, pp. 259-265

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Purchasing casualty insurance to avoid lifetime ruin

Young, Virginia R. - In: Insurance / Mathematics & economics 77 (2017), pp. 133-142

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Optimally investing to reach a bequest goal

Bayraktar, Erhan; Young, Virginia R. - In: Insurance / Mathematics & economics 70 (2016), pp. 1-10

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Minimizing the expected lifetime spent in drawdown under proportional consumption

Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. - In: Finance research letters 15 (2015), pp. 106-114

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Optimal investment and location decisions of a firm in a flood risk area using Impulse Control Theory

Grames, Johanna; Grass, Dieter; Kort, Peter M.; … - 2017 - Version January 31, 2017

Flooding events can affect businesses close to rivers, lakes or coasts. This paper provides a partial equilibrium model which helps to understand the optimal location choice for a firm in flood risk areas and its investment strategies. How often, when and how much are firms willing to invest in...

Persistent link: https://www.econbiz.de/10011591799

Minimizing lifetime poverty with a penalty for bankruptcy

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Minimizing the probability of lifetime drawdown under constant consumption

Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. - In: Insurance / Mathematics & economics 69 (2016), pp. 210-223

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