Reaching goals by a deadline: digital options and continuous-time active portfolio management
From MaRDI portal
Publication:4705790
DOI10.1239/aap/1029955147zbMath0963.91053OpenAlexW3124756721MaRDI QIDQ4705790
Publication date: 27 June 2001
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/aap/1029955147
Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
Related Items
Distributionally Robust Goal-Reaching Optimization in the Presence of Background Risk ⋮ Competition and equilibrium effort choice ⋮ A pair of optimal reinsurance-investment strategies in the two-sided exit framework ⋮ Asset-liability management under the safety-first principle ⋮ Reaching goals under ambiguity: continuous-time optimal portfolio selection ⋮ Cooperative Hedging in Incomplete Markets ⋮ Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management ⋮ CDF formulation for solving an optimal reinsurance problem ⋮ Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing ⋮ Purchasing casualty insurance to avoid lifetime ruin ⋮ Optimal investment problem under behavioral setting: a Lagrange duality perspective ⋮ Portfolio Optimization within a Wasserstein Ball ⋮ Portfolio performance under benchmarking relative loss and portfolio insurance: From omega ratio to loss aversion ⋮ On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging ⋮ Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach ⋮ Estimating a Hedge Fund Return Model Based on a Small Number of Samples ⋮ Cooperative hedging in the complete market under \(g\)-expectation constraint ⋮ A new characterization of comonotonicity and its application in behavioral finance ⋮ Less is more: increasing retirement gains by using an upside terminal wealth constraint ⋮ Risk sensitive control of the lifetime ruin problem ⋮ Utility Maximization Under Trading Constraints with Discontinuous Utility ⋮ PORTFOLIO MANAGEMENT WITH CONSTRAINTS ⋮ IMPLEMENTING INDIVIDUAL SAVINGS DECISIONS FOR RETIREMENT WITH BOUNDS ON WEALTH ⋮ BEHAVIORAL PORTFOLIO SELECTION: ASYMPTOTICS AND STABILITY ALONG A SEQUENCE OF MODELS ⋮ Bankruptcy in long-term investments ⋮ Dynamic portfolio allocation in goals-based wealth management ⋮ Cooperative hedging with a higher interest rate for borrowing ⋮ THE INCENTIVES OF HEDGE FUND FEES AND HIGH-WATER MARKS ⋮ Purchasing life insurance to reach a bequest goal ⋮ Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming ⋮ Optimally investing to reach a bequest goal ⋮ REACHING A BEQUEST GOAL WITH LIFE INSURANCE: AMBIGUITY ABOUT THE RISKY ASSET'S DRIFT AND MORTALITY'S HAZARD RATE ⋮ PORTFOLIO CHOICE VIA QUANTILES ⋮ Optimal payoff under the generalized dual theory of choice ⋮ Maximizing the Probability of a Perfect Hedge in the Case of Stochastic Interest Rate ⋮ The Kelly growth optimal strategy with a stop-loss rule ⋮ RISK SEEKING, NONCONVEX REMUNERATION AND REGIME SWITCHING ⋮ ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN ⋮ Optimal and Simple, Nearly Optimal Rules for Minimizing the Probability Of Financial Ruin in Retirement
