Ruin problems and myopic portfolio optimization in continuous trading

DOI10.1016/0304-4149(86)90097-9zbMath0604.60053OpenAlexW2067763124WikidataQ126421324 ScholiaQ126421324MaRDI QIDQ1083122

Knut Kristian Aase

Publication date: 1986

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(86)90097-9

zbMATH Keywords

Bellman equationruin problemsDoléans-Dade's exponential formulaportfolio optimization problemstationary Markovian financial strategy

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Optimal stochastic control (93E20)

Related Items (7)

Contingent claims valuation when the security price is a combination of an Itō process and a random point process ⋮ Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments ⋮ Admissible investment strategies in continuous trading ⋮ The equilibrium allocation of diffusive and jump risks with heterogeneous agents ⋮ Asset allocation under threshold autoregressive models ⋮ OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION ⋮ Stability for multidimensional jump-diffusion processes

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
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• Stochastic differential equations. An introduction with applications
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• Martingales and stochastic integrals in the theory of continuous trading
• R&D projects analyzed by semimartingale methods
• Stochastic continuous-time model reference adaptive systems with decreasing gain
• A conditional expectation formula for diffusion processes
• Investment policies for expanding businesses optimal in a long‐run sense
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