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On discrete probability approximations for transaction cost problems
Butt, Nabeel - In: Asia-Pacific financial markets 26 (2019) 3, pp. 365-389
Persistent link: https://www.econbiz.de/10012309693
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Optimal proportional reinsurance and investment for stochastic factor models
Brachetta, M.; Ceci, C. - In: Insurance / Mathematics & economics 87 (2019), pp. 15-33
Persistent link: https://www.econbiz.de/10012058904
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On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration
Backhoff-Veraguas, Julio; Tangpi, Ludovic - In: Mathematics and financial economics 14 (2020) 3, pp. 433-460
Persistent link: https://www.econbiz.de/10012240302
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Optimal chance-constrained pension fund management through dynamic stochastic control
Lauria, Davide; Consigli, Giorgio; Maggioni, Francesca - In: OR spectrum : quantitative approaches in management 44 (2022) 3, pp. 967-1007
Persistent link: https://www.econbiz.de/10013440687
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Point-to-point stochastic control of a self-financing portfolio
Mavungu, Masiala - In: Algorithmic finance 9 (2022) 3/4, pp. 129-143
Persistent link: https://www.econbiz.de/10013459986
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A class of portfolio optimization solvable problems
Cheng, Yuyang; Escobar, Marcos - In: Finance research letters 52 (2023), pp. 1-10
Persistent link: https://www.econbiz.de/10014472208
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Optimal investment and consumption for financial markets with jumps under transaction costs
Egorov, Sergei; Pergamenchtchikov, Serguei - In: Finance and stochastics 28 (2024) 1, pp. 123-159
Persistent link: https://www.econbiz.de/10014447608
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Optimal investment-consumption-insurance strategy with inflation risk and stochastic income in an Itô-Lévy setting
Moagi, Gaoganwe S.; Doctor, Obonye - In: International journal of financial engineering 11 (2024) 2, pp. 1-19
Persistent link: https://www.econbiz.de/10014574920
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Near-optimal asset allocation in financial markets with trading constraints
Kamma, Thijs; Pelsser, Antoon André Jean - In: European journal of operational research : EJOR 297 (2022) 2, pp. 766-781
Persistent link: https://www.econbiz.de/10013259935
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Optimal bookmaking
Loring, Matthew; Zhou, Zhou; Zou, Bin - In: European journal of operational research : EJOR 295 (2021) 2, pp. 560-574
Persistent link: https://www.econbiz.de/10013205968