| Publication | Date of Publication | Type |
|---|
| Neural network approach to portfolio optimization with leverage constraints: a case study on high inflation investment | 2024-08-26 | Paper |
| Across-time risk-aware strategies for outperforming a benchmark | 2024-06-14 | Paper |
| Optimal performance of a tontine overlay subject to withdrawal constraints | 2024-04-30 | Paper |
| BEATING A CONSTANT WEIGHT BENCHMARK: EASIER DONE THAN SAID | 2024-01-23 | Paper |
| Multi-Period Mean Expected-Shortfall Strategies: ‘Cut Your Losses and Ride Your Gains’ | 2023-08-07 | Paper |
| Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach | 2023-06-01 | Paper |
| Optimal asset allocation for outperforming a stochastic benchmark target | 2022-09-30 | Paper |
| A Stochastic Control Approach to Defined Contribution Plan Decumulation: “The Nastiest, Hardest Problem in Finance” | 2022-07-20 | Paper |
| Short term decumulation strategies for underspending retirees | 2022-03-10 | Paper |
| OPTIMAL CONTROL OF THE DECUMULATION OF A RETIREMENT PORTFOLIO WITH VARIABLE SPENDING AND DYNAMIC ASSET ALLOCATION | 2021-12-27 | Paper |
| PRACTICAL INVESTMENT CONSEQUENCES OF THE SCALARIZATION PARAMETER FORMULATION IN DYNAMIC MEAN–VARIANCE PORTFOLIO OPTIMIZATION | 2021-10-20 | Paper |
| The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors | 2021-06-03 | Paper |
| TWO STAGE DECUMULATION STRATEGIES FOR DC PLAN INVESTORS | 2021-06-01 | Paper |
| On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies | 2021-05-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4969121 | 2020-10-05 | Paper |
| OPTIMAL ASSET ALLOCATION FOR DC PENSION DECUMULATION WITH A VARIABLE SPENDING RULE | 2020-08-31 | Paper |
| Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR | 2020-08-03 | Paper |
| Multiperiod Mean Conditional Value at Risk Asset Allocation: Is It Advantageous to Be Time Consistent? | 2020-06-08 | Paper |
| Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization? | 2019-11-22 | Paper |
| Management of Portfolio Depletion Risk through Optimal Life Cycle Asset Allocation | 2019-11-04 | Paper |
| Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies | 2019-06-03 | Paper |
| A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans | 2019-05-23 | Paper |
| Hedging Costs for Variable Annuities Under Regime-Switching | 2018-12-21 | Paper |
| Time-consistent mean-variance portfolio optimization: a numerical impulse control approach | 2018-11-19 | Paper |
| The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management | 2018-11-19 | Paper |
| An optimal stochastic control framework for determining the cost of hedging of variable annuities | 2018-11-01 | Paper |
| Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies | 2018-09-05 | Paper |
| ROBUST ASSET ALLOCATION FOR LONG-TERM TARGET-BASED INVESTING | 2017-05-16 | Paper |
| Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach | 2016-10-07 | Paper |
| Optimal trade execution: a mean quadratic variation approach | 2016-10-06 | Paper |
| Weakly chained matrices, policy iteration, and impulse control | 2016-05-10 | Paper |
| Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations | 2016-03-09 | Paper |
| Convergence of the embedded mean-variance optimal points with discrete sampling | 2016-02-17 | Paper |
| The Existence of Optimal Bang-Bang Controls for GMxB Contracts | 2015-05-15 | Paper |
| Inexact arithmetic considerations for direct control and penalty methods: American options under jump diffusion | 2014-10-31 | Paper |
| A comparison of iterated optimal stopping and local policy iteration for American options under regime switching | 2014-10-10 | Paper |
| Preservation of Scalarization Optimal Points in the Embedding Technique for Continuous Time Mean Variance Optimization | 2014-09-26 | Paper |
| Continuous time mean‐variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach | 2014-04-08 | Paper |
| Calibration and hedging under jump diffusion | 2013-10-31 | Paper |
| Combined Fixed Point and Policy Iteration for Hamilton--Jacobi--Bellman Equations in Finance | 2012-10-31 | Paper |
| Iterative methods for the solution of a singular control formulation of a GMWB pricing problem | 2012-09-19 | Paper |
| Comparison of mean variance like strategies for optimal asset allocation problems | 2012-05-07 | Paper |
| Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB) | 2012-02-25 | Paper |
| Methods for Pricing American Options under Regime Switching | 2012-02-23 | Paper |
| Public goods games with reward in finite populations | 2012-02-09 | Paper |
| Numerical Methods for Nonlinear PDEs in Finance | 2012-01-10 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3102958 | 2011-11-25 | Paper |
| Dynamic Hedging Under Jump Diffusion with Transaction Costs | 2011-11-24 | Paper |
| Continuous time mean variance asset allocation: a time-consistent strategy | 2011-01-28 | Paper |
| A Hamilton-Jacobi-Bellman approach to optimal trade execution | 2011-01-21 | Paper |
| Implications of a regime-switching model on natural gas storage valuation and optimal operation | 2010-03-12 | Paper |
| Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation | 2010-02-09 | Paper |
| Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals | 2010-01-25 | Paper |
| Maximal Use of Central Differencing for Hamilton–Jacobi–Bellman PDEs in Finance | 2009-06-22 | Paper |
| A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation | 2009-03-10 | Paper |
| Infinite reload options: pricing and analysis | 2008-11-06 | Paper |
| An object-oriented framework for valuing shout options on high-performance computer architectures | 2008-10-24 | Paper |
| A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB) | 2008-08-20 | Paper |
| Numerical solution of two asset jump diffusion models for option valuation | 2008-06-11 | Paper |
| Numerical Methods and Volatility Models for Valuing Cliquet Options | 2007-02-15 | Paper |
| Hedging with a correlated asset: Solution of a nonlinear pricing PDE | 2007-01-22 | Paper |
| Wireless network capacity management: a real options approach | 2006-10-25 | Paper |
| Understanding the Behavior and Hedging of Segregated Funds Offering the Reset Feature | 2006-01-05 | Paper |
| A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion | 2005-09-22 | Paper |
| Robust numerical methods for contingent claims under jump diffusion processes | 2005-03-21 | Paper |
| A penalty method for American options with jump diffusion processes | 2004-12-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4459812 | 2004-05-18 | Paper |
| Convergence of numerical methods for valuing path-dependent options using interpolation | 2003-12-04 | Paper |
| Valuation of segregated funds: shout options with maturity extensions. | 2003-11-16 | Paper |
| Numerical convergence properties of option pricing PDEs with uncertain volatility | 2003-01-01 | Paper |
| A numerical PDE approach for pricing callable bonds | 2002-09-05 | Paper |
| Unstructured meshing for two asset barrier options | 2002-09-05 | Paper |
| A finite volume approach for contingent claims valuation | 2002-09-04 | Paper |
| A finite element approach to the pricing of discrete lookbacks with stochastic volatility | 2002-09-04 | Paper |
| Quadratic convergence for valuing American options using a penalty method | 2002-04-15 | Paper |
| Shout options: A framework for pricing contracts which can be modified by the investor | 2001-10-14 | Paper |
| Implicit solution of uncertain volatility/transaction cost option pricing models with discretely observed barriers. | 2001-01-01 | Paper |
| PDE methods for pricing barrier options | 2000-10-26 | Paper |
| Penalty methods for American options with stochastic volatility | 1999-08-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4359234 | 1998-08-12 | Paper |
| Monotonicity Considerations for Saturated--Unsaturated Subsurface Flow | 1998-02-10 | Paper |
| Nonlinear iteration methods for high speed laminar compressible Navier-Stokes equations | 1997-10-26 | Paper |
| Robust linear and nonlinear strategies for solution of the transonic Euler equations | 1996-05-22 | Paper |
| Performance Issues for Iterative Solvers in Device Simulation | 1996-03-27 | Paper |
| Three‐dimensional modelling of steam flush for DNAPL site remediation | 1996-02-22 | Paper |
| Preconditioned conjugate gradient methods for three‐dimensional linear elasticity | 1995-02-20 | Paper |
| Linear and non‐linear iterative methods for the incompressible Navier‐Stokes equations | 1994-07-11 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3140854 | 1993-12-05 | Paper |
| Drop tolerance preconditioning for incompressible viscous flow | 1993-01-17 | Paper |
| Ordering Methods for Preconditioned Conjugate Gradient Methods Applied to Unstructured Grid Problems | 1993-01-16 | Paper |
| Towards a cost-effective ILU preconditioner with high level fill | 1993-01-16 | Paper |
| A control volume finite element method for three‐dimensional NAPL groundwater contamination | 1992-06-28 | Paper |
| A Control Volume Finite Element Approach to NAPL Groundwater Contamination | 1991-01-01 | Paper |
| A two‐phase, two‐component model for natural convection in a porous medium | 1991-01-01 | Paper |
| Adaptive Implicit Criteria for Two-Phase Flow with Gravity and Capillary Pressure | 1989-01-01 | Paper |
| Quadratic convergence for cell-centered grids | 1988-01-01 | Paper |
| Comparison of the single-phase and two-phase numerical model formulation for saturated-unsaturated groundwater flow | 1988-01-01 | Paper |
| Practical considerations for adaptive implicit methods in reservoir simulation | 1986-01-01 | Paper |
| Instability in Runge-Kutta schemes for simulation of oil recovery | 1984-01-01 | Paper |
| Incomplete Factorization Methods for Fully Implicit Simulation of Enhanced Oil Recovery | 1984-01-01 | Paper |
| Multi-grid solution of three-dimensional problems with discontinuous coefficients | 1983-01-01 | Paper |
| Comparison of Fast Iterative Methods for Symmetric Systems | 1983-01-01 | Paper |
| THE FORWARD-SCATTERING OF RADIO WAVES FROM OVERDENSE METEOR TRAILS | 1957-01-01 | Paper |
| OPSurv: Orthogonal Polynomials Quadrature Algorithm for Survival Analysis | N/A | Paper |
