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Fast mean-reversion asymptotics for large portfolios of stochastic volatility models

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Optimal portfolio allocation of commodity related assets using a controlled forward-backward algorithm

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Optimal investment-reinsurance with delay for mean-variance insurers : a maximum principle approach

Shen, Yang; Zeng, Yan - In: Insurance / Mathematics & economics 57 (2014), pp. 1-12

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Optimal investment, consumption and proportional reinsurance under model uncertainty

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Numerical methods in financial and actuarial applications : a stochastic maximum principle approach

Di Giacinto, Marina - In: Journal of mathematical finance 8 (2018) 2, pp. 283-301

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Time-consistent investment and consumption strategies under a general discount function

Alia, Ishak; Chighoub, Farid; Khelfallah, Nabil; Vives, … - In: Journal of risk and financial management : JRFM 14 (2021) 2/86, pp. 1-27

In the present paper, we investigate the Merton portfolio management problem in the context of non-exponential discounting, a context that gives rise to time-inconsistency of the decision-maker. We consider equilibrium policies within the class of open-loop controls that are characterized, in...

Persistent link: https://www.econbiz.de/10012484346