| Publication | Date of Publication | Type |
|---|
Investment-consumption-insurance optimisation problem with multiple habit formation and non-exponential discounting
Finance and Stochastics | 2024-01-02 | Paper |
Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach
Stochastics | 2023-07-03 | Paper |
Time-consistent lifetime portfolio selection under smooth ambiguity
Mathematical Control and Related Fields | 2023-06-19 | Paper |
Mean-variance portfolio selection with random investment horizon
Journal of Industrial and Management Optimization | 2023-03-29 | Paper |
Optimal investment, consumption and life insurance strategies under stochastic differential utility with habit formation
Journal of Industrial and Management Optimization | 2022-11-14 | Paper |
Utility maximization with habit formation of interaction
Journal of Industrial and Management Optimization | 2021-09-10 | Paper |
Non-exponential discounting portfolio management with habit formation
Mathematical Control and Related Fields | 2021-05-05 | Paper |
| Optimal consumption, life insurance and investment decision with habit formation | 2021-04-26 | Paper |
Ergodic control for a mean reverting inventory model
Journal of Industrial and Management Optimization | 2019-02-05 | Paper |
Optimal investment of an insurer with regime-switching and risk constraint
Scandinavian Actuarial Journal | 2018-07-11 | Paper |
Optimal inventory control with jump diffusion and nonlinear dynamics in the demand
SIAM Journal on Control and Optimization | 2018-01-12 | Paper |
Optimality of \((s,S)\) policies with nonlinear processes
Discrete and Continuous Dynamical Systems. Series B | 2017-04-25 | Paper |
The optimal mean variance problem with inflation
Discrete and Continuous Dynamical Systems. Series B | 2015-11-25 | Paper |
Optimal investment with a value-at-risk constraint
Journal of Industrial and Management Optimization | 2014-05-16 | Paper |
Optimal insurance in a changing economy
Mathematical Control and Related Fields | 2014-03-11 | Paper |
Optimal investment-reinsurance with dynamic risk constraint and regime switching
Scandinavian Actuarial Journal | 2013-12-17 | Paper |
Optimal investment-consumption problem with constraint
Journal of Industrial and Management Optimization | 2013-11-14 | Paper |
Optimal stochastic differential games with VaR constraints
Discrete and Continuous Dynamical Systems. Series B | 2013-11-12 | Paper |
A decomposition method for optimal portfolios with regime-switching and risk constraint
Risk and Decision Analysis | 2013-05-23 | Paper |
| Optimal portfolios with stress analysis and the effect of a CVaR constraint | 2011-02-23 | Paper |
Optimal portfolios with regime switching and value-at-risk constraint
Automatica | 2010-06-17 | Paper |
| scientific article; zbMATH DE number 5502241 (Why is no real title available?) | 2009-02-03 | Paper |
