Pages that link to "Item:Q1861159"

The following pages link to Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints (Q1861159):

Displaying 49 items.

• On investment consumption modeling with jump process extensions for productive sectors (Q262002) (← links)
• Optimal strategies for asset allocation and consumption under stochastic volatility (Q274239) (← links)
• Utility indifference valuation for non-smooth payoffs with an application to power derivatives (Q282083) (← links)
• Optimal investment and consumption with default risk: HARA utility (Q370878) (← links)
• Utility-based hedging and pricing with a nontraded asset for jump processes (Q424380) (← links)
• A remark on smooth solutions to a stochastic control problem with a power terminal cost function and stochastic volatilities (Q475326) (← links)
• Consumption-investment optimization with Epstein-Zin utility in incomplete markets (Q503396) (← links)
• Characterisation of optimal dual measures via distortion (Q882491) (← links)
• Non-linear filtering and optimal investment under partial information for stochastic volatility models (Q1650844) (← links)
• Optimal investment and risk control for an insurer with stochastic factor (Q1728224) (← links)
• Optimal consumption and investment for markets with random coefficients (Q1945049) (← links)
• Utility indifference pricing and hedging for structured contracts in energy markets (Q2014372) (← links)
• A collective investment problem in a stochastic volatility environment: the impact of sharing rules (Q2241134) (← links)
• Pricing and hedging in incomplete markets with model uncertainty (Q2286877) (← links)
• Optimal consumption and investment problem with random horizon in a BMAP model (Q2347110) (← links)
• Optimal investment and reinsurance for an insurer under Markov-modulated financial market (Q2397849) (← links)
• Portfolios and risk premia for the long run (Q2428051) (← links)
• Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model (Q2444720) (← links)
• Portfolio optimization with stochastic volatilities and constraints: an application in high dimension (Q2471704) (← links)
• Optimal investment and risk control strategies for an insurer subject to a stochastic economic factor in a Lévy market (Q2684949) (← links)
• An optimal portfolio problem in a defaultable market (Q3059692) (← links)
• Utility-Based Valuation and Hedging of Basis Risk With Partial Information (Q3063879) (← links)
• Wealth optimization and dual problems for jump stock dynamics with stochastic factor (Q3080993) (← links)
• Portfolio Optimization with Stochastic Volatilities: A Backward Approach (Q3094218) (← links)
• Sequential $\delta$-Optimal Consumption and Investment for Stochastic Volatility Markets with Unknown Parameters (Q3178724) (← links)
• (Q3373620) (← links)
• (Q4356492) (← links)
• Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity (Q4554494) (← links)
• Portfolio Choice with Market--Credit-Risk Dependencies (Q4582831) (← links)
• An Optimal Consumption Problem for General Factor Models (Q4586150) (← links)
• Optimal selection portfolio problem: a semi-linear PDE approach (Q4648583) (← links)
• On the parabolic equation for portfolio problems (Q4989156) (← links)
• Relative Hedging of Systematic Mortality Risk (Q5029058) (← links)
• Optimal asset allocation for a DC plan with partial information under inflation and mortality risks (Q5078506) (← links)
• Optimal investment-consumption and life insurance with capital constraints (Q5085601) (← links)
• m-Double Poisson Lévy markets (Q5139259) (← links)
• BAYESIAN LEARNING FOR THE MARKOWITZ PORTFOLIO SELECTION PROBLEM (Q5207492) (← links)
• Risk-Sensitive Asset Management and Cascading Defaults (Q5219291) (← links)
• On the multi-dimensional portfolio optimization with stochastic volatility (Q5236140) (← links)
• APPROXIMATE HEDGING PROBLEM WITH TRANSACTION COSTS IN STOCHASTIC VOLATILITY MARKETS (Q5283405) (← links)
• A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets (Q5312715) (← links)
• A Note on Merton's Portfolio Selection Problem for the Schwartz Mean-Reversion Model (Q5312729) (← links)
• OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS (Q5488979) (← links)
• Portfolio optimization with unobservable Markov-modulated drift process (Q5697589) (← links)
• Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility (Q5711169) (← links)
• Backward SDEs for control with partial information (Q5743122) (← links)
• Optimal investment and reinsurance strategies for an insurer with stochastic economic factor (Q5886710) (← links)
• Epstein‐Zin utility maximization on a random horizon (Q6146695) (← links)
• Optimal investment and consumption strategies for an investor with stochastic economic factor in a defaultable market (Q6181245) (← links)