Optimal control of perpetual CPDO: minimal cash-out probability and maximal conditional return

DOI10.1002/OCA.2075zbMath1301.93177OpenAlexW2156430674MaRDI QIDQ2925123

Yuan Wu, Xiao-Li Yang, Jin Liang

Publication date: 20 October 2014

Published in: Optimal Control Applications and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/oca.2075

zbMATH Keywords

constant proportion debt obligation (CPDOs)highly nonlinear Hamilton--Jacobi--Bellman equationoptimal leverage function

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (1)

CPDO WITH FINITE TERMINATION: MAXIMAL RETURN UNDER CASH-IN AND CASH-OUT CONDITIONS

Cites Work

• Theoretical solution versus industry standard: Optimal leverage function for CPDOs
• Optimal dynamic reinsurance policies for large insurance portfolios
• Multiple-objective risk-sensitive control and its small noise limit
• On absolute ruin minimization under a diffusion approximation model
• Constant Proportion Debt Obligations (CPDOs): modeling and risk analysis

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