Hiroaki Hata

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Expected power utility maximization of insurers Asia-Pacific Financial Markets	2026-02-03	Paper
Optimal consumption and investment problem using a power utility function under a general nonlinear stochastic factor model SIAM Journal on Control and Optimization	2025-10-10	Paper
Optimal investment and reinsurance of insurers with a nonlinear stochastic factor model Applied Mathematics and Optimization	2025-06-24	Paper
A long-term optimal consumption and investment problem with partial information Mathematical Control and Related Fields	2024-08-16	Paper
Expected power utility maximization with delay for insurers under the 4/2 stochastic volatility model Mathematical Control and Related Fields	2024-04-12	Paper
Expressions of forward starting option price in Hull-White stochastic volatility model Decisions in Economics and Finance	2022-06-17	Paper
Optimal investment and reinsurance of insurers with lognormal stochastic factor model Mathematical Control and Related Fields	2022-03-29	Paper
Risk-sensitive asset management with lognormal interest rates Asia-Pacific Financial Markets	2021-06-30	Paper
Optimal investment-consumption-insurance with partial information Japan Journal of Industrial and Applied Mathematics	2020-02-28	Paper
Risk-sensitive portfolio optimization problem for a large trader with inside information Japan Journal of Industrial and Applied Mathematics	2018-12-07	Paper
Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps Asia-Pacific Financial Markets	2018-12-03	Paper
Expected exponential utility maximization of insurers with a linear Gaussian stochastic factor model Scandinavian Actuarial Journal	2018-08-31	Paper
Risk-sensitive asset management in a general diffusion factor model: risk-seeking case Japan Journal of Industrial and Applied Mathematics	2017-07-19	Paper
A market model with medium/long-term effects due to an insider Quantitative Finance	2014-02-08	Paper
``Down-side risk'' probability minimization problem with Cox-Ingersoll-Ross's interest rates Asia-Pacific Financial Markets	2011-03-30	Paper
Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem Applied Mathematics and Optimization	2010-12-03	Paper
A risk-sensitive stochastic control approach to an optimal investment problem with partial information Finance and Stochastics	2006-12-08	Paper
Solving long term optimal investment problems with Cox-Ingersoll-Ross interest rates	2006-08-28	Paper

Research outcomes over time

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