Risk seeking, nonconvex remuneration and regime switching
DOI10.1142/S0219024915500090zbMATH Open1337.91073MaRDI QIDQ5249751FDOQ5249751
Daniele Marazzina, Emilio Barucci
Publication date: 11 May 2015
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
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Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
- Continuous-time stochastic control and optimization with financial applications
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal portfolio choice for unobservable and regime-switching mean returns
- AMERICAN OPTIONS WITH REGIME SWITCHING
- EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
- Option pricing and Esscher transform under regime switching
- Asset allocation under multivariate regime switching
- Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
- The return on investment from proportional portfolio strategies
- Closed-Form Solutions for Perpetual American Put Options with Regime Switching
- Reaching goals by a deadline: digital options and continuous-time active portfolio management
- Mixed Optimal Stopping and Stochastic Control Problems with Semicontinuous Final Reward for Diffusion Processes
- An optimal dividend and investment control problem under debt constraints
- Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time
Cited In (6)
- Portfolio management with benchmark related incentives under mean reverting processes
- Asset management, high water mark and flow of funds
- Implicit incentives for fund managers with partial information
- Optimal strategy for a fund manager with option compensation
- The value of knowing the market price of risk
- A martingale approach for asset allocation with derivative security and hidden economic risk
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