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Risk management of interest rate derivative portfolios : a stochastic control approach

Kiriakopoulos, Konstantinos; Koulis, Alexandros - In: Journal of risk and financial management : JRFM 7 (2014) 4, pp. 130-149

In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic portfolio optimization problem. The utility that we use can be any continuous function and based on the viscosity theory, the unique solution of the problem is guaranteed. The...

Persistent link: https://www.econbiz.de/10011552973

A finite-horizon optimal investment and consumption problem using regime-switching models

Liu, Rui Hua - In: International journal of theoretical and applied finance 17 (2014) 4, pp. 1-18

Persistent link: https://www.econbiz.de/10010391500

Minimizing lifetime poverty with a penalty for bankruptcy

Cohen, Asaf; Young, Virginia R. - In: Insurance / Mathematics & economics 69 (2016), pp. 156-167

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Annuitization and asset allocation under exponential utility

Liang, Xiaoqing; Young, Virginia R. - In: Insurance / Mathematics & economics 79 (2018), pp. 167-183

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On the existence and uniqueness of the optimal central bank intervention policy in a forex market with jumps

Perera, Sandun; Buckley, Winston - In: Journal of the Operational Research Society : OR 68 (2017) 8, pp. 877-885

Persistent link: https://www.econbiz.de/10011794501

Strong and weak equilibria for time-inconsistent stochastic control in continuous time

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Persistent link: https://www.econbiz.de/10012582175

High-dimensional statistical arbitrage with factor models and stochastic control

Guijarro-Ordonez, Jorge - In: Applied mathematical finance 26 (2019) 4, pp. 328-358

Persistent link: https://www.econbiz.de/10012210319

Optimal dynamic futures portfolio in a regime-switching market framework

Leung, Tim; Zhou, Yang - In: International journal of financial engineering 6 (2019) 4, pp. 1-27

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Operational risk management : a stochastic control framework with preventive and corrective controls

Xu, Yuqian; Zhu, Lingjiong; Pinedo, Michael - In: Operations research 68 (2020) 6, pp. 1804-1825

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Trading revenue, reputation and trade secrets : a stochastic control framework for business operation

Chatterjee, Avhishek; Ying, Lei; Vishwanath, Sriram - In: Operational research : an international journal 20 (2020) 1, pp. 247-278

Persistent link: https://www.econbiz.de/10012172861