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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

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 under dual risk model and Markov modulated financial market

Xu, Lin; Zhang, Liming; Zhu, Dongjin - In: Journal of mathematical finance 5 (2015) 2, pp. 157-171

Persistent link: https://www.econbiz.de/10011398985

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 optimal options book execution strategies with market impact

Kalife, Aymeric; Mouti, Saad - In: Market microstructure and liquidity 2 (2016) 3/4, pp. 1-40

Persistent link: https://www.econbiz.de/10011715825

Continuous-time Markowitz's model with constraints on wealth and portfolio

Li, Xun; Xu, Zuo Quan - In: Operations research letters 44 (2016) 6, pp. 729-736

Persistent link: https://www.econbiz.de/10011622222

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

Mean-variance portfolio selection in a jump-diffusion financial market with common shock dependence

Tian, Yingxu; Sun, Zhongyang - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-12

This paper considers the optimal investment problem in a financial market with one risk-free asset and one jump-diffusion risky asset. It is assumed that the insurance risk process is driven by a compound Poisson process and the two jump number processes are correlated by a common shock. A...

Persistent link: https://www.econbiz.de/10011857001

Optimal portfolio choice under shadow costs with fixed assets when time-horizon is uncertain

Bellalah, Mondher; Zhang, Detao; Zhang, Panpan - In: Computational economics 56 (2020) 1, pp. 5-20

Persistent link: https://www.econbiz.de/10012272014

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