| Publication | Date of Publication | Type |
|---|
Optimal tracking for asset allocation with fixed and proportional transaction costs
Quantitative Finance | 2019-01-15 | Paper |
Risk-Sensitive ICAPM With Application to Fixed-Income Management
IEEE Transactions on Automatic Control | 2017-07-12 | Paper |
Optimal life insurance purchase, consumption and investment on a financial market with multi-dimensional diffusive terms
Optimization | 2014-10-24 | Paper |
An Overview of Optimal Life Insurance Purchase, Consumption and Investment Problems
Dynamics, Games and Science I | 2012-09-05 | Paper |
Option valuation with co-integrated asset prices
Journal of Economic Dynamics and Control | 2008-10-24 | Paper |
| Mortgage valuation and optimal refinancing | 2008-07-11 | Paper |
A NOTE ON THE EFFECTS OF TAXES ON OPTIMAL INVESTMENT
Mathematical Finance | 2008-05-22 | Paper |
CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
Mathematical Finance | 2006-02-08 | Paper |
OPTIMAL INVESTMENT DECISIONS FOR A PORTFOLIO WITH A ROLLING HORIZON BOND AND A DISCOUNT BOND
International Journal of Theoretical and Applied Finance | 2005-12-15 | Paper |
A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
Mathematics of Operations Research | 2003-05-21 | Paper |
| scientific article; zbMATH DE number 1795846 (Why is no real title available?) | 2002-09-04 | Paper |
Risk-sensitive dynamic asset management
Applied Mathematics and Optimization | 2002-05-07 | Paper |
| scientific article; zbMATH DE number 1867096 (Why is no real title available?) | 2002-01-01 | Paper |
| scientific article; zbMATH DE number 1642336 (Why is no real title available?) | 2001-09-09 | Paper |
| scientific article; zbMATH DE number 1944676 (Why is no real title available?) | 2001-01-01 | Paper |
Risk sensitive asset allocation
Journal of Economic Dynamics and Control | 2000-08-21 | Paper |
Risk sensitive asset management with transaction costs
Finance and Stochastics | 2000-05-24 | Paper |
Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
Mathematical Methods of Operations Research | 2000-05-17 | Paper |
Optimal trading of a security when there are taxes and transaction costs
Finance and Stochastics | 1999-09-14 | Paper |
OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
Mathematical Finance | 1997-07-06 | Paper |
Portfolio management with transaction costs
Proceedings of the Royal Society of London. Series A: Mathematical and Physical Sciences | 1997-04-16 | Paper |
| scientific article; zbMATH DE number 912568 (Why is no real title available?) | 1997-01-19 | Paper |
On a free boundary problem that arises in portfolio management
Philosophical Transactions of the Royal Society of London. Series A: Physical and Engineering Sciences | 1995-05-14 | Paper |
Optimal portfolios with asymptotic criteria
Annals of Operations Research | 1994-01-26 | Paper |
Optimal Scheduling of Inspections: A Delayed Markov Model with False Positives and Negatives
Operations Research | 1991-01-01 | Paper |
On the fundamental theorem of asset pricing with an infinite state space
Journal of Mathematical Economics | 1991-01-01 | Paper |
| scientific article; zbMATH DE number 4068584 (Why is no real title available?) | 1988-01-01 | Paper |
| scientific article; zbMATH DE number 4068587 (Why is no real title available?) | 1988-01-01 | Paper |
The shadow price of information in continuous time decision problems
Stochastics | 1987-01-01 | Paper |
A martingale characterization of the price of a nonrenewable resource with decisions involving uncertainty
Journal of Economic Theory | 1985-01-01 | Paper |
A stochastic calculus model of continuous trading: Complete markets
Stochastic Processes and their Applications | 1983-01-01 | Paper |
Optimal Consumption of a Nonrenewable Resource with Stochastic Discoveries and a Random Environment
Review of Economic Studies | 1983-01-01 | Paper |
| scientific article; zbMATH DE number 3790234 (Why is no real title available?) | 1982-01-01 | Paper |
| scientific article; zbMATH DE number 3799545 (Why is no real title available?) | 1982-01-01 | Paper |
Optimal policies for batch service queueing systems
Opsearch | 1982-01-01 | Paper |
Martingales and stochastic integrals in the theory of continuous trading
Stochastic Processes and their Applications | 1981-01-01 | Paper |
| scientific article; zbMATH DE number 3746957 (Why is no real title available?) | 1980-01-01 | Paper |
Accretive Operators and Markov Decision Processes
Mathematics of Operations Research | 1980-01-01 | Paper |
Optimal Consumption and Exploration of Nonrenewable Resources under Uncertainty
Econometrica | 1980-01-01 | Paper |
| scientific article; zbMATH DE number 3718885 (Why is no real title available?) | 1978-01-01 | Paper |
On a functional differential equation that arises in a Markov control problem
Journal of Differential Equations | 1978-01-01 | Paper |
| scientific article; zbMATH DE number 3542840 (Why is no real title available?) | 1977-01-01 | Paper |
Optimal Control of Single-Server Queuing Networks and Multi-Class <i>M</i>/<i>G</i>/1 Queues with Feedback
Operations Research | 1977-01-01 | Paper |
Optimization of Multitype Branching Processes
Management Science | 1976-01-01 | Paper |
Controlled jump processes
Stochastic Processes and their Applications | 1975-01-01 | Paper |
A Semigroup Representation of the Maximum Expected Reward Vector in Continuous Parameter Markov Decision Theory
SIAM Journal on Control | 1975-01-01 | Paper |
A diffusion process model for the optimal operation of a reservoir system
Journal of Applied Probability | 1975-01-01 | Paper |
A DYNAMIC PROGRAMMING MODEL FOR OPTIMAL OBSERVATIONS OF A DISCRETE TIME LINEAR STOCHASTIC PROCESS
Australian Journal of Statistics | 1974-01-01 | Paper |
Optimal observations for minimum variance filtering
IEEE Transactions on Automatic Control | 1974-01-01 | Paper |
Single person controlled diffusions with discounted costs
Journal of Optimization Theory and Applications | 1973-01-01 | Paper |
Multiperson Controlled Diffusions
SIAM Journal on Control | 1973-01-01 | Paper |
