Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy
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Publication:4610239
DOI10.1088/1469-7688/4/3/007zbMATH Open1405.91558OpenAlexW2163623954MaRDI QIDQ4610239FDOQ4610239
Authors: Bjarne Højgaard, Michael Taksar 
Publication date: 15 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/984be6174cfed1fc3a13a90a4185fc9c4a2b0136
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Cited In (36)
- Minimizing expected time to reach a given capital level before ruin
- Optimal control with restrictions for a diffusion risk model under constant interest force
- Strategies for Dividend Distribution: A Review
- Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
- Dividends and reinsurance under a penalty for ruin
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- Portfolio selection by minimizing the present value of capital injection costs
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