Optimal investment
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Publication:4902479
DOI10.1007/978-3-642-35202-7zbMATH Open1264.91119OpenAlexW4240445410MaRDI QIDQ4902479FDOQ4902479
Authors: L. C. G. Rogers 
Publication date: 15 January 2013
Published in: SpringerBriefs in Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-35202-7
Recommendations
Portfolio theory (91G10) Utility theory (91B16) Stochastic models in economics (91B70) Financial applications of other theories (91G80)
Cited In (57)
- Robust decisions for heterogeneous agents via certainty equivalents
- A greedy algorithm for habit formation under multiplicative utility
- Power utility maximization with expert opinions at fixed arrival times in a market with hidden Gaussian drift
- Optimal investment with lumpy costs
- Sub- and supersolution approach to accuracy analysis of portfolio optimization asymptotics in multiscale stochastic factor markets
- Dynamic portfolio strategies: Quantitative methods and empirical rules for incomplete information
- Optimal liquidation of an asset under drift uncertainty
- Dynkin games with heterogeneous beliefs
- Optimal investment decisions
- Optimal stochastic control, stochastic target problems, and backward SDE.
- Asymptotic filter behavior for high-frequency expert opinions in a market with Gaussian drift
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- Zero Investment in a High Yield Asset Can be Optimal
- Stochastic modeling and methods in optimal portfolio construction
- Robust utility maximization of terminal wealth with drift and volatility uncertainty
- Analysis and computation of a discrete costly observation model for growth estimation and management of biological resources
- Optimal consumption and portfolio selection with negative wealth constraints, subsistence consumption constraints, and CARA utility
- The value of insight
- Optimal execution with multiplicative price impact and incomplete information on the return
- Pricing and hedging in incomplete markets with model uncertainty
- Diffusion approximations for periodically arriving expert opinions in a financial market with Gaussian drift
- Dividend maximization in a hidden Markov switching model
- Perturbation analysis for investment portfolios under partial information with expert opinions
- American options and incomplete information
- Stochastical methods in finance. I
- Robust utility maximization under model uncertainty via a penalization approach
- Pairs trading under drift uncertainty and risk penalization
- Near-optimal asset allocation in financial markets with trading constraints
- Controlled Markov processes and viscosity solutions
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- Consumption in incomplete markets
- Optimal active lifetime investment
- Optimal allocation to deferred income annuities
- Optimal investment and dividend for an insurer under a Markov regime switching market with high gain tax
- Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio
- Convex duality in optimal investment under illiquidity
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- Stochastic optimal control with applications in financial engineering
- Optimal investment and consumption under a habit-formation constraint
- Sequential $\delta$-Optimal Consumption and Investment for Stochastic Volatility Markets with Unknown Parameters
- Portfolio optimization with early announced discrete dividends
- Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments
- Asset liquidation under drift uncertainty and regime-switching volatility
- REACHING A BEQUEST GOAL WITH LIFE INSURANCE: AMBIGUITY ABOUT THE RISKY ASSET'S DRIFT AND MORTALITY'S HAZARD RATE
- Optimal retirement time under habit persistence: what makes individuals retire early?
- Dynamic spending and portfolio decisions with a soft social norm
- EVOLUTION OF FIRM SIZE
- An elementary approach to the Merton problem
- Stochastic optimization models in finance
- Convex duality in optimal investment and contingent claim valuation in illiquid markets
- Optimal exit strategies for investment projects
- The robust Merton problem of an ambiguity averse investor
- IMEX schemes for a parabolic-ODE system of European options with liquidity shocks
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- Dynamic portfolio optimization with looping contagion risk
- Dynamic asset-liability management in a Markov market with stochastic cash flows
- Investment theory and risk management
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