Explicit solutions to an optimal portfolio choice problem with stochastic income
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- An optimal consumption problem for general factor models
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- A NOTE ON IRREVERSIBLE INVESTMENT, HEDGING AND OPTIMAL CONSUMPTION PROBLEMS
- Indifference pricing for CRRA utilities
- Intertemporal optimal portfolio choice based on labor income within shadow costs of incomplete information and short sales
- Lifetime investment and consumption using a defined-contribution pension scheme
- Market Consistent Pricing of Insurance Products
- FINANCIAL HEDGING OF OPERATIONAL FLEXIBILITY
- Solution of a two-dimensional stochastic investment problem
- Exact solutions and approximations for optimal investment strategies and indifference prices
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- Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
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- Relative hedging of systematic mortality risk
- The structure of optimal consumption streams in general incomplete markets
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