|
|
| (One intermediate revision by one other user not shown) |
| Property / full work available at URL |
| | | |
| Property / full work available at URL: https://doi.org/10.1016/j.insmatheco.2023.01.003 / rank |
| | | Normal rank |
| Property / OpenAlex ID |
| | | |
| Property / OpenAlex ID: W4319073167 / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Pricing and hedging derivative securities in markets with uncertain volatilities / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Adapted Wasserstein distances and stability in mathematical finance / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Duality theory for robust utility maximisation / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: On the Multidimensional Controller-and-Stopper Games / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: On the Robust Optimal Stopping Problem / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Optimal Retirement Under Partial Information / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Ambiguity, Risk, and Asset Returns in Continuous Time / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: DISUTILITY, OPTIMAL RETIREMENT, AND PORTFOLIO SELECTION / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Empirical properties of asset returns: stylized facts and statistical issues / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Optimal consumption and portfolio policies when asset prices follow a diffusion process / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Optimal Investment under Model Uncertainty in Nondominated Models / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Lifetime consumption and investment: retirement and constrained borrowing / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Ambiguous volatility, possibility and utility in continuous time / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Controlled Markov processes and viscosity solutions / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Robust optimal reinsurance and investment strategies for an AAI with multiple risks / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Robust state-dependent mean-variance portfolio selection: a closed-loop approach / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Optimal investment and consumption problems under correlation ambiguity / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Optimal asset allocation for DC pension plans under inflation / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Optimal consumption, portfolio, and life insurance policies under interest rate and inflation risks / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: The annuity puzzle and consumption hump under ambiguous life expectancy / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Backward stochastic differential equations driven by \(G\)-Brownian motion / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Optimal stopping under model ambiguity: A time‐consistent equilibrium approach / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Utility Maximization with Discretionary Stopping / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Martingale approach to stochastic differential games of control and stopping / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: The asymptotic elasticity of utility functions and optimal investment in incomplete markets / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Optimal investment and consumption decision of a family with life insurance / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Reflected backward stochastic differential equation driven by \(G\)-Brownian motion with an upper obstacle / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Reflected solutions of backward stochastic differential equations driven by \(G\)-Brownian motion / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Q4354424 / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Uncertain volatility and the risk-free synthesis of derivatives / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Longevity-linked assets and pre-retirement consumption/portfolio decisions / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Portfolio management with stochastic interest rates and inflation ambiguity / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Effects of a government subsidy and labor flexibility on portfolio selection and retirement / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Robust Retirement with Return Ambiguity: Optimal \(\boldsymbol{G}\)-Stopping Time in Dual Space / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Q5436616 / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Continuous-time stochastic control and optimization with financial applications / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Optimal investment, consumption and life insurance under mean-reverting returns: the complete market solution / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Robust investment-reinsurance optimization with multiscale stochastic volatility / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Pricing inflation products with stochastic volatility and stochastic interest rates / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Quasi-sure stochastic analysis through aggregation / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: On an Aleksandrov-Bakel'Man Type Maximum Principle for Second-Order Parabolic Equations / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Optimal consumption-investment and life-insurance purchase strategy for couples with correlated lifetimes / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Optimal Consumption and Portfolio Selection with Early Retirement Option / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model / rank |
| | | Normal rank |
| Property / cites work |
| | | |
| Property / cites work: Optimal investment for a pension fund under inflation risk / rank |
| | | Normal rank |
