Uncertainty and inside information
From MaRDI portal
Publication:261231
DOI10.3934/jdg.2016001zbMath1391.91146OpenAlexW4243272568MaRDI QIDQ261231
Ioannis D. Baltas, Athanasios N. Yannacopoulos
Publication date: 23 March 2016
Published in: Journal of Dynamics and Games (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jdg.2016001
Bellman-Isaacs equationrobust optimizationportfolio managementstochastic differential gamesinside information
Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) Portfolio theory (91G10)
Related Items
Time-consistent mean-variance reinsurance-investment in a jump-diffusion financial market ⋮ On the grey Baker-Thompson rule ⋮ Robust control of parabolic stochastic partial differential equations under model uncertainty ⋮ Optimal investment in a general stochastic factor framework under model uncertainty ⋮ Optimal consumption, investment and life-insurance purchase under a stochastically fluctuating economy ⋮ Robust portfolio decisions for financial institutions ⋮ Pricing and hedging in incomplete markets with model uncertainty ⋮ Coordinating a supply chain with demand information updating ⋮ Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty ⋮ Optimal pension fund management under risk and uncertainty: the case study of Poland ⋮ Robust utility maximization of terminal wealth with drift and volatility uncertainty ⋮ Production control problem with semi-Markov jump under stochastic demands and deteriorating inventories
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Robust portfolio choice with stochastic interest rates
- Robust consumption and portfolio choice for time varying investment opportunities
- Mathematical methods for financial markets.
- Semi-martingales et grossissement d'une filtration
- Robust control and recursive utility
- Free lunch and arbitrage possibilities in a financial market model with an insider.
- Robust consumption-investment problems with random market coefficients
- Worst-case scenario investment for insurers
- Controlled Markov processes and viscosity solutions
- Risk minimizing portfolios and HJBI equations for stochastic differential games
- Anticipative portfolio optimization
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal investment and reinsurance policies in insurance markets under the effect of inside information
- MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
- A discussion of parameter and model uncertainty in insurance
