Pages that link to "Item:Q5711169"
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The following pages link to Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility (Q5711169):
Displaying 50 items.
- Optimal strategies for asset allocation and consumption under stochastic volatility (Q274239) (← links)
- Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model (Q282274) (← links)
- Stability of utility maximization in nonequivalent markets (Q287676) (← links)
- A hybrid stock trading system using genetic network programming and mean conditional value-at-risk (Q300078) (← links)
- Valuation of power options under Heston's stochastic volatility model (Q311037) (← links)
- The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts (Q413330) (← links)
- Consumption-investment optimization with Epstein-Zin utility in incomplete markets (Q503396) (← links)
- Existence of optimal consumption strategies in markets with longevity risk (Q506076) (← links)
- Utility maximization in models with conditionally independent increments (Q614120) (← links)
- Horizon dependence of utility optimizers in incomplete models (Q693036) (← links)
- Conditional Davis pricing (Q784731) (← links)
- Optimal consumption and portfolio choice with ambiguous interest rates and volatility (Q825169) (← links)
- Optimal investment in multidimensional Markov-modulated affine models (Q902185) (← links)
- Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model (Q1639554) (← links)
- Optimal portfolios when variances and covariances can jump (Q1655780) (← links)
- Dynamic derivative strategies with stochastic interest rates and model uncertainty (Q1657151) (← links)
- An expansion in the model space in the context of utility maximization (Q1709603) (← links)
- Optimal investment under VaR-regulation and minimum insurance (Q1742722) (← links)
- The opportunity process for optimal consumption and investment with power utility (Q1932536) (← links)
- Sensitivity analysis of the utility maximisation problem with respect to model perturbations (Q1999596) (← links)
- Robust optimal investment and reinsurance problem for a general insurance company under Heston model (Q2014373) (← links)
- An investment and consumption problem with CIR interest rate and stochastic volatility (Q2015242) (← links)
- Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model (Q2015626) (← links)
- Mean-variance portfolio selection under Volterra Heston model (Q2045133) (← links)
- Model uncertainty on commodity portfolios, the role of convenience yield (Q2063057) (← links)
- Robust consumption portfolio optimization with stochastic differential utility (Q2065170) (← links)
- Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck \(4/2\) models. (Q2073105) (← links)
- Computation of powered option prices under a general model for underlying asset dynamics (Q2074891) (← links)
- The optimal reinsurance-investment problem considering the joint interests of an insurer and a reinsurer under HARA utility (Q2088149) (← links)
- Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation (Q2123124) (← links)
- Feedback optimal controllers for the Heston model (Q2187328) (← links)
- Numerical solutions to optimal portfolio selection and consumption strategies under stochastic volatility (Q2205342) (← links)
- Optimal reinsurance and investment strategy with delay in Heston's SV model (Q2240102) (← links)
- A collective investment problem in a stochastic volatility environment: the impact of sharing rules (Q2241134) (← links)
- Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model (Q2273896) (← links)
- Robust optimal excess-of-loss reinsurance and investment problem with delay and dependent risks (Q2296543) (← links)
- Optimal investment-reinsurance policy with stochastic interest and inflation rates (Q2298524) (← links)
- Optimal time-consistent investment strategy for a DC pension plan with the return of premiums clauses and annuity contracts (Q2321527) (← links)
- Dynamic portfolio strategies under a fully correlated jump-diffusion process (Q2334411) (← links)
- Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework (Q2338463) (← links)
- Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model (Q2347109) (← links)
- Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model (Q2444720) (← links)
- Homotopy analysis method for portfolio optimization problem under the 3/2 model (Q2661941) (← links)
- Robust optimal excess-of-loss reinsurance and investment problem with more general dependent claim risks and defaultable risk (Q2684941) (← links)
- Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences (Q2691482) (← links)
- A stochastic volatility model and optimal portfolio selection (Q2871407) (← links)
- PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING (Q2947343) (← links)
- Optimal investment problem with stochastic interest rate and stochastic volatility: Maximizing a power utility (Q3077479) (← links)
- HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS (Q3100994) (← links)
- An Explicit Solution for Optimal Investment in Heston Model (Q3178733) (← links)
