scientific article; zbMATH DE number 7099545

zbMath1438.91103MaRDI QIDQ5230874

Pongsathorn Ingpochai, Sutee Mokkhavesa, Colin Atkinson

Publication date: 29 August 2019

Full work available at URL: https://www.ejpam.com/index.php/ejpam/article/view/3478

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

PDEstochastic controlstochastic dynamic programminginsuranceutility theoryoptimal control problems involving partial differential equations

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) PDEs in connection with control and optimization (35Q93) Actuarial mathematics (91G05)

Cites Work

• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance
• OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
• PORTFOLIO MANAGEMENT WITH TRANSACTION COSTS: AN ASYMPTOTIC ANALYSIS OF THE MORTON AND PLISKA MODEL
• Portfolio management with transaction costs
• Optimization ofN-risky asset portfolios with stochastic variance and transaction costs
• Towards the determination of utility preference from optimal portfolio selections
• Perturbation solution of optimal portfolio theory with transaction costs for any utility function
• On an investment-consumption model with transaction costs: an asymptotic analysis
• The Effect of Correlation and Transaction Costs on the Pricing of Basket Options

This page was built for publication: