Expected utility maximization for unobservable Markov-modulated jump-diffusion process with constraint on wealth
From MaRDI portal
Cites work
- A class of non-zero-sum stochastic differential investment and reinsurance games
- A martingale approach to optimal portfolios with jump-diffusions
- A reduced-form model for correlated defaults with regime-switching shot noise intensities
- A risk-sensitive stochastic control approach to an optimal investment problem with partial information
- A stochastic maximum principle for a Markov regime-switching jump-diffusion model and its application to finance
- Backward SDEs for control with partial information
- Constrained mean-variance portfolio optimization for jump-diffusion process under partial information
- Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model
- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
- Convex duality in constrained portfolio optimization
- Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer
- Exponential utility maximization under partial information
- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
- scientific article; zbMATH DE number 1546853 (Why is no real title available?)
- Linear-quadratic optimal control for time-delay stochastic system with recursive utility under full and partial information
- Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models
- Martingales and stochastic integrals in the theory of continuous trading
- Mean-variance portfolio selection for partially observed point processes
- Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections
- On dynamic measure of risk
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Optimal investment and consumption under a continuous-time cointegration model with exponential utility
- Optimal investment and consumption under partial information
- Optimal investment and dividend for an insurer under a Markov regime switching market with high gain tax
- Optimal investment of DC pension plan under short-selling constraints and portfolio insurance
- Optimal investment under partial information
- Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence
- Optimal portfolios for exponential Lévy processes.
- Pairs trading under drift uncertainty and risk penalization
- Portfolio optimization under partial information with expert opinions
- Portfolio optimization under partial information with expert opinions: a dynamic programming approach
- Portfolio optimization with unobservable Markov-modulated drift process
- Portfolio selection in stochastic markets with exponential utility functions
- Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause
- Robust asset-liability management under CRRA utility criterion with regime switching: a continuous-time model
- Robust optimal investment and reinsurance problems with learning
- Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering
- Stochastic differential games for optimal investment problems in a Markov regime-switching jump-diffusion market
- Stochastic differential games on optimal investment and reinsurance strategy with delay under the CEV model
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach
- Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics
- Utility maximization in incomplete markets
- Utility maximization with partial information
This page was built for publication: Expected utility maximization for unobservable Markov-modulated jump-diffusion process with constraint on wealth
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6911390)
