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Dynamic hedging in incomplete markets using risk measures

Gaillardetz, Patrice; Hachem, Saeb - In: IMA journal of management mathematics 33 (2022) 2, pp. 345-367

Persistent link: https://www.econbiz.de/10012798787

Portfolio optimization in DC pension scheme with unhedgeable stochastic wage

Menoncin, Francesco; Vigna, Elena - 2025

Persistent link: https://www.econbiz.de/10015436802

Non-concave utility maximisation on the positive real axis in discrete time

Carassus, Laurence; Rásonyi, Miklós; Rodrigues, Andrea M. - In: Mathematics and financial economics 9 (2015) 4, pp. 325-349

Persistent link: https://www.econbiz.de/10011378104

Hedging under multiple risk constraints

Jiao, Ying; Klopfenstein, Olivier; Tankov, Peter - In: Finance and stochastics 21 (2017) 2, pp. 361-396

Persistent link: https://www.econbiz.de/10011944382

Optimal dynamic longevity hedge with basis risk

Ken Seng Tan; Weng, Chengguo; Zhang, Jinggong - In: European journal of operational research : EJOR 297 (2022) 1, pp. 325-337

Persistent link: https://www.econbiz.de/10013259312

Mind the cap!-constrained portfolio optimisation in Heston's stochastic volatility model

Escobar, Marcos; Kschonnek, M.; Zagst, Rudi - In: Quantitative finance 23 (2023) 12, pp. 1793-1813

Persistent link: https://www.econbiz.de/10014452471

Optimal grid selection for the numerical solution of dynamic stochastic optimization problems

Chipeniuk, Karsten O. - In: Computational economics 56 (2020) 4, pp. 883-928

Persistent link: https://www.econbiz.de/10012390486

Closed-form portfolio optimization under GARCH models

Escobar, Marcos; Gollart, Maximilian; Zagst, Rudi - In: Operations research perspectives 9 (2022), pp. 1-13

This paper develops an approximate closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to maximize the expected utility from terminal wealth under a...

Persistent link: https://www.econbiz.de/10012880259

Portfolio optimization under partial information with expert opinions

Frey, Rüdiger; Gabih, Abdelali; Wunderlich, Ralf - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10009562133

Optimal policy for a time consistent mean-variance model with regime switching

Li, Gang; Chen, Zhiping; Liu, Jia - In: IMA journal of management mathematics 27 (2016) 2, pp. 211-234

Persistent link: https://www.econbiz.de/10011567026