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Multi-agent robust optimal investment problem in incomplete market

Kizaki, Keisuke; Saito, Taiga; Takahashi, Akihiko - 2022 - Revised in November 2022

Persistent link: https://www.econbiz.de/10013463761

Multi-agent Robust Optimal Investment Problem in Incomplete Market

Kizaki, Keisuke; Saito, Taiga; Takahashi, Akihiko - 2022

This paper considers a multi-agent optimal investment problem with conservative sentiments in an incomplete market by a BSDE approach. Particularly, we formulate the conservative sentiments of the agents by a sup-inf/inf-sup problem where we take infimum on a choice of a probability measure and...

Persistent link: https://www.econbiz.de/10014239212

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

Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model

Yi, Bo; Li, Zhongfei; Viens, Frederi G.; Zeng, Yan - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 601-614

Persistent link: https://www.econbiz.de/10010227929

Time-inconsistent Markovian control problems under model uncertainty with application to the mean-variance portfolio selection

Bielecki, Tomasz R.; Chen, Tao; Cialenco, Igor - In: International journal of theoretical and applied finance 24 (2021) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10012650186

Robust optimal investment and reinsurance problems with learning

Bäuerle, Nicole; Leimcke, Gregor - In: Scandinavian actuarial journal 2021 (2021) 2, pp. 82-109

Persistent link: https://www.econbiz.de/10012500254

Robust consumption and portfolio rules with time-varying model confidence

Jang, Bong-Gyu; Lee, Seungkyu; Lim, Byung Hwa - In: Finance research letters 18 (2016), pp. 342-352

Persistent link: https://www.econbiz.de/10011657300

Robust portfolio choice with stochastic interest rates

Flor, Christian Riis; Larsen, Linda Sandris - In: Annals of finance 10 (2014) 2, pp. 243-265

Persistent link: https://www.econbiz.de/10010350862

An explicit solution of a nonlinear-quadratic constrained stochastic control problem with jumps : optimal liquidation in dark pools with adverse selection

Kratz, Peter - In: Mathematics of operations research 39 (2014) 4, pp. 1198-1220

Persistent link: https://www.econbiz.de/10010462146

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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