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Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty

Bismuth, Alexis; Guéant, Olivier; Pu, Jiang - In: Mathematics and financial economics 13 (2019) 4, pp. 661-719

Persistent link: https://www.econbiz.de/10012055900

Stochastic optimal control modeling of debt crises

Stein, Jerome L. - 2003

What is an optimal or a sustainable external debt - for a country, region or sector? How should one monitor and evaluate debt to preclude a crisis? We use stochastic optimal control/dynamic programming to derive an optimal debt. The deviation of the actual from the optimal will serve as a...

Persistent link: https://www.econbiz.de/10011509487

A general model for financial crises : an application to eurozone crisis

Yener, Haluk; Soybilgen, Barış; Stengos, Thanasēs - In: International review of economics & finance : IREF 70 (2020), pp. 202-229

Persistent link: https://www.econbiz.de/10012486786

Stakeholders and shareholders

Gazioğlu, Şaziye; McCausland, W. David - In: Economic & financial modelling : a journal of the … 6 (1999) 2, pp. 71-98

Persistent link: https://www.econbiz.de/10001434270

Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework

Menoncin, Francesco; Vigna, Elena - In: Insurance / Mathematics & economics 76 (2017), pp. 172-184

Persistent link: https://www.econbiz.de/10011774817

Contagion modeling between the financial and insurance markets with time changed processes

Hainaut, Donatien - In: Insurance / Mathematics & economics 74 (2017), pp. 63-77

Persistent link: https://www.econbiz.de/10011712384

Limit order trading with a mean reverting reference price

Ahuja, Saran; Papanicolaou, George; Ren, Weiluo; Yang, … - In: Risk and decision analysis 6 (2017) 2, pp. 121-136

Persistent link: https://www.econbiz.de/10011743827

Production and replacement policies for a deteriorating manufacturing system under random demand and quality

Ouaret, Samir; Kenné, Jean-Pierre; Gharbi, Ali - In: European journal of operational research : EJOR 264 (2018) 2, pp. 623-636

Persistent link: https://www.econbiz.de/10011801883

Investing towards an exogenous reference level using a lower partial moments criterion

Kamma, Thijs; Pelsser, Antoon André Jean - 2022

Persistent link: https://www.econbiz.de/10013433526

The economics of water conservation regulations under uncertainty : an application to Alberta's Lower Athabasca River region

Huang, Yichun; Insley, Margaret - 2020

Persistent link: https://www.econbiz.de/10012242316