scientific article; zbMATH DE number 1095739
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- Optimality of myopic strategies for multi-stock discrete time market with management costs
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- A bounded risk strategy for a market with non-observable parameters.
- Pricing contingent claims in incomplete markets when the holder can choose among different payoffs.
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- Non-addictive habits: optimal consumption-portfolio policies.
- Fair valuation of path-dependent participating life insurance contracts.
- A stability result for the HARA class with stochastic interest rates.
- Perpetual options and Canadization through fluctuation theory
- Financial options and statistical prediction intervals
- A stochastic representation for mean curvature type geometric flows
- Optimal consumption from investment and random endowment in incomplete semimartingale markets.
- Rational equilibrium asset-pricing bubbles in continuous trading models
- Dynamics aggregation in stochastic control problems
- Maximum principle of optimal stochastic control with terminal state constraint and its application in finance
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- Turnpike property and convergence rate for an investment model with general utility functions
- Variational formulation of a general equilibrium model with incomplete financial markets and numeraire assets: existence
- Commodity spread option with cointegration
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- Equilibrium returns with transaction costs
- Equal risk pricing under convex trading constraints
- Equilibrium consumption and portfolio decisions with stochastic discount rate and time-varying utility functions
- Optimal asset allocation with fixed-term securities
- Portfolio selection with consumption ratcheting
- Optimal investment and consumption for an insurer with high-watermark performance fee
- Maximum principle for optimal control problems of forward-backward regime-switching systems involving impulse controls
- An optimal job, consumption/leisure, and investment policy
- Quadratic minimization with portfolio and intertemporal wealth constraints
- Purchasing casualty insurance to avoid lifetime ruin
- Optimal investment strategies for participating contracts
- Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization
- On the existence of competitive equilibrium in frictionless and incomplete stochastic asset markets
- Stochastic optimality in the portfolio tracking problem involving investor's temporal preferences
- Quantile hedging pension payoffs: an analysis of investment incentives
- Stochastic maximum principle with Lagrange multipliers and optimal consumption with Lévy wage
- Time-consistent stopping under decreasing impatience
- Optimal investment and consumption when allowing terminal debt
- Contingent claim pricing through a continuous time variational bargaining scheme
- Optimal harvesting for a logistic growth model with predation and a constant elasticity of variance
- The dividend problem with a finite horizon
- Exact and efficient sampling of conditioned walks
- An expansion in the model space in the context of utility maximization
- Stability of Radner equilibria with respect to small frictions
- On the free boundary of an annuity purchase
- The optimal portfolio selection model under \(g\)-expectation
- Finite-horizon optimal consumption and investment problem with a preference change
- The interaction of debt financing, cash grants and the optimal investment policy under uncertainty
- Transition probabilities for degenerate diffusions arising in population genetics
- Optimal investment of DC pension plan under short-selling constraints and portfolio insurance
- Optimal consumption and portfolio selection problems under loss aversion with downside consumption constraints
- Volatility and arbitrage
- An example of a stochastic equilibrium with incomplete markets
- Strict local martingale deflators and valuing American call-type options
- Long-term optimal portfolios with floor
- An optimal stopping problem with a reward constraint
- A two-step simulation procedure to analyze the exercise features of American options
- Convexity of the optimal stopping boundary for the American put option
- Linear and nonlinear price decentralization
- Utility maximization with a stochastic clock and an unbounded random endowment
- Characterization of arbitrage-free markets
- Numerical valuation of options with jumps in the underlying
- A unification of hypercontractivities of the Ornstein-Uhlenbeck semigroup and its connection with {\(\Phi\)}-entropy inequalities
- On the pricing of contingent claims under constraints
- Asset pricing in an intertemporal partially-revealing rational expectations equilibrium.
- The valuation of European options in uncertain environment
- The optimal uniform approximation of systems of stochastic differential equations
- Minimizing shortfall risk and applications to finance and insurance problems
- Optimal contingent claims.
- Optimal consumption choice with intertemporal substitution
- On trees and logs
- Martingale representation theorems for initially enlarged filtrations.
- A partial introduction to financial asset pricing theory.
- Free lunch and arbitrage possibilities in a financial market model with an insider.
- Utility maximizing entropy and the second law of thermodynamics.
- Optimal investment with random endowments in incomplete markets.
- HARA frontiers of optimal portfolios in stochastic markets
- Optimal stopping for dynamic convex risk measures
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