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A stochastic programming model for dynamic portfolio management with financial derivatives

Barro, Diana; Consigli, Giorgio; Varun, Vivek - In: Journal of banking & finance 140 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013463145

Dynamic hedging in incomplete markets using risk measures

Gaillardetz, Patrice; Hachem, Saeb - In: IMA journal of management mathematics 33 (2022) 2, pp. 345-367

Persistent link: https://www.econbiz.de/10012798787

A dynamic programming approach for pricing weather derivatives under issuer default risk

Härdle, Wolfgang; Osipenko, Maria - In: International Journal of Financial Studies : open … 5 (2017) 4, pp. 1-18

Weather derivatives are contingent claims with payoff based on a pre-specified weather index. Firms exposed to weather risk can transfer it to financial markets via weather derivatives. We develop a utility-based model for pricing baskets of weather derivatives under default risk on the issuer...

Persistent link: https://www.econbiz.de/10011760235

An SDP approach for multiperiod mixed 0-1 linear programming models with stochastic dominance constraints for risk management

Escudero, Laureano F.; Monge, Juan Francisco; Romero … - In: Computers & operations research : and their … 58 (2015), pp. 32-40

Persistent link: https://www.econbiz.de/10010509424

Upper and lower bounds for convex value functions of derivative contracts

Ben-Ameur, Hatem; Frutos, Javier de; Fakhfakh, Tarek; … - In: Economic modelling 34 (2013), pp. 69-75

Persistent link: https://www.econbiz.de/10010360612

Dynamic hedging for the real option management of hydropower production with exchange rate risks

Dimoski, Joakim; Fleten, Stein-Erik; Löhndorf, Nils; … - In: OR spectrum : quantitative approaches in management 45 (2023) 2, pp. 525-554

Persistent link: https://www.econbiz.de/10014326903

Deep stochastic optimization in finance

Reppen, A. Max; Soner, Halil Mete; Tissot-Daguette, Valentin - In: Digital finance : smart data analytics, investment … 5 (2023) 1, pp. 91-111

Persistent link: https://www.econbiz.de/10014251569

Optimal investment problem with multiple risky assets under the constant elasticity of variance (CEV) model

Zhao, Hui; Rong, Ximin; Ma, Weiqin; Gao, Bo - In: Modern economy 3 (2012) 6, pp. 718-725

Persistent link: https://www.econbiz.de/10009720485

Income drawdown option with minimum guarantee

Di Giacinto, Marina; Federico, Salvatore; Gozzi, Fausto; … - In: European journal of operational research : EJOR 234 (2014) 3, pp. 610-624

Persistent link: https://www.econbiz.de/10010360497

Utility maximization in an illiquid market in continuous time

Soner, Halil Mete; Vukelja, Mirjana - In: Mathematical methods of operations research 84 (2016) 2, pp. 285-321

Persistent link: https://www.econbiz.de/10011673528