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Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
Bi, Junna; Cai, Jun - In: Insurance / Mathematics & economics 85 (2019), pp. 1-14
Persistent link: https://www.econbiz.de/10011990589
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Management of a hydropower system via convex duality
Dahl, Kristina Rognlien - In: Mathematical methods of operations research 89 (2019) 1, pp. 43-71
Persistent link: https://www.econbiz.de/10011991715
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Expected exponential utility maximization of insurers with a Linear Gaussian stochastic factor model
Hata, Hiroaki; Yasuda, Kazuhiro - In: Scandinavian actuarial journal (2018) 5, pp. 357-378
Persistent link: https://www.econbiz.de/10011881444
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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
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On the asymptotic optimality of finite approximations to Markov decision processes with Borel spaces
Saldi, Naci; Yüksel, Serdar; Linder, Tamás - In: Mathematics of operations research 42 (2017) 4, pp. 945-978
Persistent link: https://www.econbiz.de/10011773293
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Optimal portfolio in the presence of transaction costs and convex risk measure
Doctor, O.; Offen, E. R.; Lungu, E. M. - In: International journal of financial engineering 4 (2017) 4, pp. 1-15
Persistent link: https://www.econbiz.de/10011807095
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Optimal accelerated share repurchases
Jaimungal, S.; Kinzebulatov, D.; Rubisov, D. H. - In: Applied mathematical finance 24 (2017) 3/4, pp. 216-245
Persistent link: https://www.econbiz.de/10011815227
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Life insurance decisions under recursive utility
Reitzel Jensen, Ninna - In: Scandinavian actuarial journal 2019 (2019) 3, pp. 204-227
Persistent link: https://www.econbiz.de/10012194947
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Optimal management of a wind power plant with storage capacity
Collet, Jérôme; Féron, Olivier; Tankov, Peter - 2017
Persistent link: https://www.econbiz.de/10012200348
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Optimal liquidation under stochastic price impact
Barger, Weston; Lorig, Matthew - In: International journal of theoretical and applied finance 22 (2019) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10012012935