Optimal active lifetime investment
From MaRDI portal
Publication:6040955
DOI10.1080/00207179.2021.1979252zbMath1514.91177OpenAlexW3200036320MaRDI QIDQ6040955
Unnamed Author, Xiao Liu, Unnamed Author, Lin-Lin Wang
Publication date: 25 May 2023
Published in: International Journal of Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207179.2021.1979252
Dynamic programming in optimal control and differential games (49L20) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Portfolio theory (91G10)
Cites Work
- Unnamed Item
- Optimum consumption and portfolio rules in a continuous-time model
- Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process
- Optimal portfolio selection and dynamic benchmark tracking
- Optimal investment for insurer with jump-diffusion risk process
- Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints
- Adaptive control of a diffusion to a goal and a parabolic Monge-Ampère-type equation
- Risk sensitive control of the lifetime ruin problem
- Optimal investment for investors with state dependent income, and for insurers
- On minimizing the ruin probability by investment and reinsurance
- Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
- Maximizing expected terminal utility of an insurer with high gain tax by investment and reinsurance
- Optimal reinsurance strategies in regime-switching jump diffusion models: stochastic differential game formulation and numerical methods
- Lifetime ruin under high-water mark fees and drift uncertainty
- Optimal time-consistent investment and reinsurance policies for mean-variance insurers
- Minimizing the probability of lifetime exponential Parisian ruin
- Optimal consumption-investment and life-insurance purchase strategy for couples with correlated lifetimes
- A pair of optimal reinsurance-investment strategies in the two-sided exit framework
- Convergence of Markov chain approximation on generalized HJB equation and its applications
- Controlled Markov processes and viscosity solutions
- Optimally investing to reach a bequest goal
- Risk-Constrained Dynamic Active Portfolio Management
- Tracking a Financial Benchmark Using a Few Assets
- Continuous-Time Red and Black: How to Control a Diffusion to a Goal
- Minimizing the lifetime ruin under borrowing and short-selling constraints
- Optimal Tracking Portfolio with a Ratcheting Capital Benchmark
- Minimizing the Probability of Lifetime Ruin under Random Consumption
- Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
- Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
This page was built for publication: Optimal active lifetime investment
