Chen, Xinyue; Chen, Peimin; He, Yong; Wang, Xiaoyang The optimal investment problem with inflation and liquidity risk. (English) Zbl 07756784 J. Comput. Appl. Math. 438, Article ID 115580, 19 p. (2024). MSC: 91G10 91B39 93E20 PDF BibTeX XML Cite \textit{X. Chen} et al., J. Comput. Appl. Math. 438, Article ID 115580, 19 p. (2024; Zbl 07756784) Full Text: DOI
Peng, Jing; Wei, Pengyu; Xu, Zuo Quan Relative growth rate optimization under behavioral criterion. (English) Zbl 07770148 SIAM J. Financ. Math. 14, No. 4, 1140-1174 (2023). MSC: 91Gxx 91G10 91B08 PDF BibTeX XML Cite \textit{J. Peng} et al., SIAM J. Financ. Math. 14, No. 4, 1140--1174 (2023; Zbl 07770148) Full Text: DOI arXiv
Bernis, Guillaume; Garcin, Matthieu; Scotti, Simone; Sgarra, Carlo Interest rates term structure models driven by Hawkes processes. (English) Zbl 07770145 SIAM J. Financ. Math. 14, No. 4, 1062-1079 (2023). MSC: 91Gxx 60G55 60J60 91G05 91G10 93E20 PDF BibTeX XML Cite \textit{G. Bernis} et al., SIAM J. Financ. Math. 14, No. 4, 1062--1079 (2023; Zbl 07770145) Full Text: DOI
Zhang, Caibin; Liang, Zhibin Constrained mean-variance portfolio optimization for jump-diffusion process under partial information. (English) Zbl 07769907 Stoch. Models 39, No. 4, 741-771 (2023). MSC: 91G10 93E20 60H30 PDF BibTeX XML Cite \textit{C. Zhang} and \textit{Z. Liang}, Stoch. Models 39, No. 4, 741--771 (2023; Zbl 07769907) Full Text: DOI
Bi, Xiuchun; Cui, Zhenyu; Fan, Jiacheng; Yuan, Lvning; Zhang, Shuguang Optimal investment problem under behavioral setting: a Lagrange duality perspective. (English) Zbl 07765444 J. Econ. Dyn. Control 156, Article ID 104751, 31 p. (2023). MSC: 91G10 93E20 91B16 PDF BibTeX XML Cite \textit{X. Bi} et al., J. Econ. Dyn. Control 156, Article ID 104751, 31 p. (2023; Zbl 07765444) Full Text: DOI
Hao, Zhehong; Chang, Hao Robust time-consistent strategy for the defined contribution pension plan with a minimum guarantee under ambiguity. (English) Zbl 07761031 Comput. Appl. Math. 42, No. 8, Paper No. 335, 31 p. (2023). MSC: 60H30 91G10 93E20 PDF BibTeX XML Cite \textit{Z. Hao} and \textit{H. Chang}, Comput. Appl. Math. 42, No. 8, Paper No. 335, 31 p. (2023; Zbl 07761031) Full Text: DOI
de Melo, Maisa Kely; Nogueira Cardoso, Rodrigo Tomás; Argolo Jesus, Tales; Vianna Raffo, Guilherme Investment portfolio tracking using model predictive control. (English) Zbl 07754174 Optim. Control Appl. Methods 44, No. 1, 259-274 (2023). MSC: 93-XX PDF BibTeX XML Cite \textit{M. K. de Melo} et al., Optim. Control Appl. Methods 44, No. 1, 259--274 (2023; Zbl 07754174) Full Text: DOI
Fontana, Claudio; Pavarana, Simone; Runggaldier, Wolfgang J. A stochastic control perspective on term structure models with roll-over risk. (English) Zbl 07748828 Finance Stoch. 27, No. 4, 903-932 (2023). MSC: 91G30 60G44 93E20 91G10 PDF BibTeX XML Cite \textit{C. Fontana} et al., Finance Stoch. 27, No. 4, 903--932 (2023; Zbl 07748828) Full Text: DOI arXiv OA License
Mi, Hui; Di, Wenrong; Lin, Jinguan Optimal investment and reinsurance with Vasicek interest rate and dependent risk. (Chinese. English summary) Zbl 07745106 Chin. J. Appl. Probab. Stat. 39, No. 2, 239-258 (2023). MSC: 91G10 91G80 93E20 PDF BibTeX XML Cite \textit{H. Mi} et al., Chin. J. Appl. Probab. Stat. 39, No. 2, 239--258 (2023; Zbl 07745106) Full Text: Link
Xu, Fengmin; Li, Xuepeng; Dai, Yu-Hong; Wang, Meihua New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact. (English) Zbl 07744765 Int. Trans. Oper. Res. 30, No. 5, 2640-2664 (2023). MSC: 90-XX PDF BibTeX XML Cite \textit{F. Xu} et al., Int. Trans. Oper. Res. 30, No. 5, 2640--2664 (2023; Zbl 07744765) Full Text: DOI
Yu, Jing-Rung; Chiou, Wan-Jiun Paul; Lee, Wen-Yi An omega portfolio model with dynamic return thresholds. (English) Zbl 07744760 Int. Trans. Oper. Res. 30, No. 5, 2528-2545 (2023). MSC: 90-XX PDF BibTeX XML Cite \textit{J.-R. Yu} et al., Int. Trans. Oper. Res. 30, No. 5, 2528--2545 (2023; Zbl 07744760) Full Text: DOI
Bichuch, Maxim; Fouque, Jean-Pierre Optimal investment with correlated stochastic volatility factors. (English) Zbl 07743106 Math. Finance 33, No. 2, 342-369 (2023). MSC: 91G10 49L12 PDF BibTeX XML Cite \textit{M. Bichuch} and \textit{J.-P. Fouque}, Math. Finance 33, No. 2, 342--369 (2023; Zbl 07743106) Full Text: DOI arXiv
Chiu, Henry; Cont, Rama A model-free approach to continuous-time finance. (English) Zbl 07743103 Math. Finance 33, No. 2, 257-273 (2023). MSC: 91G10 91G20 49L20 PDF BibTeX XML Cite \textit{H. Chiu} and \textit{R. Cont}, Math. Finance 33, No. 2, 257--273 (2023; Zbl 07743103) Full Text: DOI arXiv OA License
Jose, Babu; Jose, Nithin Is cross-hedging effective for mitigating equity investment risks in the Indian banking sector? (English) Zbl 1521.91333 Asia-Pac. Financ. Mark. 30, No. 1, 189-210 (2023). MSC: 91G10 PDF BibTeX XML Cite \textit{B. Jose} and \textit{N. Jose}, Asia-Pac. Financ. Mark. 30, No. 1, 189--210 (2023; Zbl 1521.91333) Full Text: DOI
Criens, David; Niemann, Lars Robust utility maximization with nonlinear continuous semimartingales. (English) Zbl 07740225 Math. Financ. Econ. 17, No. 3, 499-536 (2023). MSC: 91G10 91B16 93E20 60G44 PDF BibTeX XML Cite \textit{D. Criens} and \textit{L. Niemann}, Math. Financ. Econ. 17, No. 3, 499--536 (2023; Zbl 07740225) Full Text: DOI arXiv
Hu, Ying; Shi, Xiaomin; Xu, Zuo Quan Stochastic linear-quadratic control with a jump and regime switching on a random horizon. (English) Zbl 07740192 Math. Control Relat. Fields 13, No. 4, 1597-1617 (2023). MSC: 93E20 49N10 60H30 91G10 PDF BibTeX XML Cite \textit{Y. Hu} et al., Math. Control Relat. Fields 13, No. 4, 1597--1617 (2023; Zbl 07740192) Full Text: DOI arXiv
Bayraktar, Erhan; Chen, Tao Nonparametric adaptive robust control under model uncertainty. (English) Zbl 07738691 SIAM J. Control Optim. 61, No. 5, 2737-2760 (2023). MSC: 49J55 60J99 60J10 49L20 93E20 93E35 60G15 65K05 90C39 90C40 91G10 91G60 62G05 PDF BibTeX XML Cite \textit{E. Bayraktar} and \textit{T. Chen}, SIAM J. Control Optim. 61, No. 5, 2737--2760 (2023; Zbl 07738691) Full Text: DOI arXiv
Yi, Haoran; Zhang, Xuekang; Shan, Yuanchuang; Shu, Huisheng Optimal portfolio and reinsurance with two differential risky assets. (English) Zbl 07736133 Commun. Stat., Theory Methods 52, No. 19, 7094-7114 (2023). MSC: 62-XX PDF BibTeX XML Cite \textit{H. Yi} et al., Commun. Stat., Theory Methods 52, No. 19, 7094--7114 (2023; Zbl 07736133) Full Text: DOI
Dehm, Christian; Nguyen, Thai; Stadje, Mitja Non-concave expected utility optimization with uncertain time horizon. (English) Zbl 07730266 Appl. Math. Optim. 88, No. 2, Paper No. 65, 39 p. (2023). MSC: 90Cxx 91G80 91G10 93E20 PDF BibTeX XML Cite \textit{C. Dehm} et al., Appl. Math. Optim. 88, No. 2, Paper No. 65, 39 p. (2023; Zbl 07730266) Full Text: DOI arXiv
Gu, Ailing; He, Xinya; Chen, Shumin; Yao, Haixiang Optimal investment-consumption and life insurance strategy with mispricing and model ambiguity. (English) Zbl 1517.91201 Methodol. Comput. Appl. Probab. 25, No. 3, Paper No. 77, 19 p. (2023). MSC: 91G10 90C39 91G05 PDF BibTeX XML Cite \textit{A. Gu} et al., Methodol. Comput. Appl. Probab. 25, No. 3, Paper No. 77, 19 p. (2023; Zbl 1517.91201) Full Text: DOI
Alvarez, Guillermo Alonso; Nadtochiy, Sergey; Webster, Kevin Optimal brokerage contracts in Almgren-Chriss model with multiple clients. (English) Zbl 1520.91363 SIAM J. Financ. Math. 14, No. 3, 855-878 (2023). MSC: 91G10 PDF BibTeX XML Cite \textit{G. A. Alvarez} et al., SIAM J. Financ. Math. 14, No. 3, 855--878 (2023; Zbl 1520.91363) Full Text: DOI arXiv
Hu, Ying; Shi, Xiaomin; Xu, Zuo Quan Constrained monotone mean-variance problem with random coefficients. (English) Zbl 1520.91370 SIAM J. Financ. Math. 14, No. 3, 838-854 (2023). MSC: 91G10 93E20 60H30 PDF BibTeX XML Cite \textit{Y. Hu} et al., SIAM J. Financ. Math. 14, No. 3, 838--854 (2023; Zbl 1520.91370) Full Text: DOI arXiv
Landriault, David; Li, Bin; Pedraza, José M. Optimal stopping for exponential Lévy models with weighted discounting. (English) Zbl 1519.91230 SIAM J. Financ. Math. 14, No. 3, 777-811 (2023). MSC: 91G10 60G40 60G51 60G46 PDF BibTeX XML Cite \textit{D. Landriault} et al., SIAM J. Financ. Math. 14, No. 3, 777--811 (2023; Zbl 1519.91230) Full Text: DOI
Yang, Zhou; Zhang, Jing; Zhou, Chao Robust control problems of BSDEs coupled with value functions. (English) Zbl 1520.91378 SIAM J. Financ. Math. 14, No. 3, 721-750 (2023). MSC: 91G10 60H30 49L20 93E20 PDF BibTeX XML Cite \textit{Z. Yang} et al., SIAM J. Financ. Math. 14, No. 3, 721--750 (2023; Zbl 1520.91378) Full Text: DOI arXiv
Li, Xiufang; Zhao, Dongxu; Chen, Xiaowei Asset-liability management with state-dependent utility in the regime-switching market. (English) Zbl 1520.91391 Stoch. Models 39, No. 3, 566-591 (2023). MSC: 91G15 91G10 93E20 PDF BibTeX XML Cite \textit{X. Li} et al., Stoch. Models 39, No. 3, 566--591 (2023; Zbl 1520.91391) Full Text: DOI
Mastrogiacomo, Elisa; Tarsia, Marco Subgame-perfect equilibrium strategies for time-inconsistent recursive stochastic control problems. (English) Zbl 1520.93615 J. Math. Anal. Appl. 527, No. 2, Article ID 127425, 35 p. (2023). MSC: 93E20 91A11 60H10 91G10 91G80 PDF BibTeX XML Cite \textit{E. Mastrogiacomo} and \textit{M. Tarsia}, J. Math. Anal. Appl. 527, No. 2, Article ID 127425, 35 p. (2023; Zbl 1520.93615) Full Text: DOI arXiv
Rosazza Gianin, Emanuela; Sgarra, Carlo Mathematical finance. Theory review and exercises. 2nd corrected and expanded edition. (English) Zbl 07720960 Unitext 149. La Matematica per il 3+2. Cham: Springer (ISBN 978-3-031-28377-2/pbk; 978-3-031-28378-9/ebook). xii, 305 p. (2023). MSC: 91-01 91G10 91G20 91G30 91G70 60H30 60G40 PDF BibTeX XML Cite \textit{E. Rosazza Gianin} and \textit{C. Sgarra}, Mathematical finance. Theory review and exercises. 2nd corrected and expanded edition. Cham: Springer (2023; Zbl 07720960) Full Text: DOI
Xie, Pengxu; Bai, Lihua; Zhang, Huayue Optimal pairs trading of mean-reverting processes over multiple assets. (English) Zbl 1520.91377 Numer. Algebra Control Optim. 13, No. 3-4, 461-472 (2023). MSC: 91G10 93E20 60J60 PDF BibTeX XML Cite \textit{P. Xie} et al., Numer. Algebra Control Optim. 13, No. 3--4, 461--472 (2023; Zbl 1520.91377) Full Text: DOI
Yin, Jie; Wong, Hoi Ying Bond portfolio optimization with long-range dependent credits. (English) Zbl 07715836 J. Ind. Manag. Optim. 19, No. 10, 7090-7104 (2023). MSC: 49N90 60H30 91B05 91G40 PDF BibTeX XML Cite \textit{J. Yin} and \textit{H. Y. Wong}, J. Ind. Manag. Optim. 19, No. 10, 7090--7104 (2023; Zbl 07715836) Full Text: DOI
Zhang, Liangquan; Li, Xun Mean-variance portfolio selection under no-shorting rules: a BSDE approach. (English) Zbl 07712459 Syst. Control Lett. 177, Article ID 105545, 11 p. (2023). MSC: 91G10 60H30 49L12 49L25 PDF BibTeX XML Cite \textit{L. Zhang} and \textit{X. Li}, Syst. Control Lett. 177, Article ID 105545, 11 p. (2023; Zbl 07712459) Full Text: DOI
Dammann, Felix; Ferrari, Giorgio Optimal execution with multiplicative price impact and incomplete information on the return. (English) Zbl 1520.91366 Finance Stoch. 27, No. 3, 713-768 (2023). MSC: 91G10 93E20 60G40 PDF BibTeX XML Cite \textit{F. Dammann} and \textit{G. Ferrari}, Finance Stoch. 27, No. 3, 713--768 (2023; Zbl 1520.91366) Full Text: DOI arXiv
Bartl, Daniel; Wiesel, Johannes Sensitivity of multiperiod optimization problems with respect to the adapted Wasserstein distance. (English) Zbl 1520.91364 SIAM J. Financ. Math. 14, No. 2, 704-720 (2023). MSC: 91G10 93E20 60G40 PDF BibTeX XML Cite \textit{D. Bartl} and \textit{J. Wiesel}, SIAM J. Financ. Math. 14, No. 2, 704--720 (2023; Zbl 1520.91364) Full Text: DOI arXiv
Zhang, Yumo Robust optimal investment strategies for mean-variance asset-liability management under 4/2 stochastic volatility models. (English) Zbl 1520.91380 Methodol. Comput. Appl. Probab. 25, No. 1, Paper No. 20, 32 p. (2023). MSC: 91G10 60H30 93E20 49L20 PDF BibTeX XML Cite \textit{Y. Zhang}, Methodol. Comput. Appl. Probab. 25, No. 1, Paper No. 20, 32 p. (2023; Zbl 1520.91380) Full Text: DOI
Wang, Yike; Liu, Jingzhen; Wei, Jiaqin Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach. (English) Zbl 1520.91375 Stochastics 95, No. 2, 235-265 (2023). MSC: 91G10 93E20 PDF BibTeX XML Cite \textit{Y. Wang} et al., Stochastics 95, No. 2, 235--265 (2023; Zbl 1520.91375) Full Text: DOI
Hsieh, Chung-Han On asymptotic log-optimal portfolio optimization. (English) Zbl 1520.91368 Automatica 151, Article ID 110901, 11 p. (2023). MSC: 91G10 93E20 PDF BibTeX XML Cite \textit{C.-H. Hsieh}, Automatica 151, Article ID 110901, 11 p. (2023; Zbl 1520.91368) Full Text: DOI
Jia, Zhifu; Liu, Xinsheng Optimal control of multifactor uncertain system with jumps. (English) Zbl 1519.93136 Int. J. Control 96, No. 5, 1272-1287 (2023). MSC: 93C41 93E20 49N70 91G10 91A80 PDF BibTeX XML Cite \textit{Z. Jia} and \textit{X. Liu}, Int. J. Control 96, No. 5, 1272--1287 (2023; Zbl 1519.93136) Full Text: DOI
Yuan, Haili; Hu, Yijun Optimal investment strategies for an insurer with liquid constraint. (English) Zbl 07702502 Commun. Stat., Theory Methods 52, No. 7, 2198-2214 (2023). MSC: 91G10 93E20 60J75 60G46 PDF BibTeX XML Cite \textit{H. Yuan} and \textit{Y. Hu}, Commun. Stat., Theory Methods 52, No. 7, 2198--2214 (2023; Zbl 07702502) Full Text: DOI
Ng, Tak Wa; Nguyen, Thai Portfolio performance under benchmarking relative loss and portfolio insurance: from omega ratio to loss aversion. (English) Zbl 1519.91218 ASTIN Bull. 53, No. 1, 149-183 (2023). MSC: 91G05 91G10 PDF BibTeX XML Cite \textit{T. W. Ng} and \textit{T. Nguyen}, ASTIN Bull. 53, No. 1, 149--183 (2023; Zbl 1519.91218) Full Text: DOI
Josa-Fombellida, Ricardo; López-Casado, Paula; Navas, Jorge A defined benefit pension plan model with stochastic salary and heterogeneous discounting. (English) Zbl 1519.91213 ASTIN Bull. 53, No. 1, 62-83 (2023). MSC: 91G05 49L20 PDF BibTeX XML Cite \textit{R. Josa-Fombellida} et al., ASTIN Bull. 53, No. 1, 62--83 (2023; Zbl 1519.91213) Full Text: DOI
Lin, Zhenmei; Lai, Shaoyong Optimal consumption and portfolio selection for retirees with the guarantee of minimum welfare. (English) Zbl 07700972 J. Ind. Manag. Optim. 19, No. 11, 7849-7860 (2023). MSC: 49L20 91G10 93E20 90C39 PDF BibTeX XML Cite \textit{Z. Lin} and \textit{S. Lai}, J. Ind. Manag. Optim. 19, No. 11, 7849--7860 (2023; Zbl 07700972) Full Text: DOI
Irarrazabal, Alfonso A.; Ma, Lin; Parra-Alvarez, Juan Carlos Optimal asset allocation for commodity sovereign wealth funds. (English) Zbl 1518.91242 Quant. Finance 23, No. 3, 471-495 (2023). MSC: 91G10 PDF BibTeX XML Cite \textit{A. A. Irarrazabal} et al., Quant. Finance 23, No. 3, 471--495 (2023; Zbl 1518.91242) Full Text: DOI
Wu, Weiping; Zhou, Ke; Li, Zhicheng; Tang, Zhenpeng Dynamic mean-downside risk portfolio selection with a stochastic interest rate in continuous-time. (English) Zbl 1518.91252 J. Comput. Appl. Math. 427, Article ID 115103, 19 p. (2023). MSC: 91G10 91G30 93E20 35Q91 PDF BibTeX XML Cite \textit{W. Wu} et al., J. Comput. Appl. Math. 427, Article ID 115103, 19 p. (2023; Zbl 1518.91252) Full Text: DOI
Yu, Luyang; Lin, Liyuan; Guan, Guohui; Liu, Jingzhen Time-consistent lifetime portfolio selection under smooth ambiguity. (English) Zbl 1518.91253 Math. Control Relat. Fields 13, No. 3, 967-987 (2023). MSC: 91G10 91G05 PDF BibTeX XML Cite \textit{L. Yu} et al., Math. Control Relat. Fields 13, No. 3, 967--987 (2023; Zbl 1518.91253) Full Text: DOI
Qiu, Zhenghong; Huang, Jianhui; Xie, Tinghan Linear-quadratic-Gaussian mean-field controls of social optima. (English) Zbl 1518.93158 Math. Control Relat. Fields 13, No. 1, 1-34 (2023). MSC: 93E20 49N10 91G10 PDF BibTeX XML Cite \textit{Z. Qiu} et al., Math. Control Relat. Fields 13, No. 1, 1--34 (2023; Zbl 1518.93158) Full Text: DOI arXiv
El Asri, Brahim; Lalioui, Hafid Continuous and impulse controls differential game in finite horizon with Nash-equilibrium and application. (English) Zbl 1518.91018 J. Comput. Appl. Math. 424, Article ID 115009, 36 p. (2023). MSC: 91A23 91A10 49N25 49L20 49L25 49N70 91G10 PDF BibTeX XML Cite \textit{B. El Asri} and \textit{H. Lalioui}, J. Comput. Appl. Math. 424, Article ID 115009, 36 p. (2023; Zbl 1518.91018) Full Text: DOI arXiv
Zhang, Yumo Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach. (English) Zbl 07695043 Decis. Econ. Finance 46, No. 1, 97-128 (2023). Reviewer: Athanasios Yannacopoulos (Athína) MSC: 91G10 91G30 60H30 93E20 PDF BibTeX XML Cite \textit{Y. Zhang}, Decis. Econ. Finance 46, No. 1, 97--128 (2023; Zbl 07695043) Full Text: DOI
Kang, Jian-hao; Gou, Zhun; Huang, Nan-jing Robust equilibrium strategies for time-inconsistent stochastic optimal control problems with applications. (English) Zbl 1518.93155 Commun. Nonlinear Sci. Numer. Simul. 123, Article ID 107270, 29 p. (2023). MSC: 93E20 91G10 91G80 60H30 91A80 PDF BibTeX XML Cite \textit{J.-h. Kang} et al., Commun. Nonlinear Sci. Numer. Simul. 123, Article ID 107270, 29 p. (2023; Zbl 1518.93155) Full Text: DOI
Kim, Dayoon; Shin, Yong Hyun The effects of pre-/post-retirement borrowing constraints on optimal consumption, investment, and retirement. (English) Zbl 07691695 Comput. Appl. Math. 42, No. 4, Paper No. 170, 22 p. (2023). MSC: 91G10 49L20 PDF BibTeX XML Cite \textit{D. Kim} and \textit{Y. H. Shin}, Comput. Appl. Math. 42, No. 4, Paper No. 170, 22 p. (2023; Zbl 07691695) Full Text: DOI
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. Optimal consumption under a habit-formation constraint: the deterministic case. (English) Zbl 1518.91234 SIAM J. Financ. Math. 14, No. 2, 557-597 (2023). MSC: 91G10 49L12 35R35 PDF BibTeX XML Cite \textit{B. Angoshtari} et al., SIAM J. Financ. Math. 14, No. 2, 557--597 (2023; Zbl 1518.91234) Full Text: DOI arXiv
Van Staden, Pieter M.; Forsyth, Peter A.; Li, Yuying Beating a benchmark: dynamic programming may not be the right numerical approach. (English) Zbl 1516.91055 SIAM J. Financ. Math. 14, No. 2, 407-451 (2023). MSC: 91G10 93E20 PDF BibTeX XML Cite \textit{P. M. Van Staden} et al., SIAM J. Financ. Math. 14, No. 2, 407--451 (2023; Zbl 1516.91055) Full Text: DOI
Park, Kyunghyun; Wong, Hoi Ying Robust retirement with return ambiguity: optimal \(G\)-stopping time in dual space. (English) Zbl 1515.91143 SIAM J. Control Optim. 61, No. 3, 1009-1037 (2023). MSC: 91G10 60G40 60G65 35R35 PDF BibTeX XML Cite \textit{K. Park} and \textit{H. Y. Wong}, SIAM J. Control Optim. 61, No. 3, 1009--1037 (2023; Zbl 1515.91143) Full Text: DOI
Larcher, Gerhard The art of quantitative finance Vol. 3. Risk, optimal portfolios, and case studies. (English) Zbl 07689176 Springer Texts in Business and Economics. Cham: Springer (ISBN 978-3-031-23866-6/hbk; 978-3-031-23867-3/ebook). xiv, 368 p. (2023). Reviewer: Paweł Kliber (Poznan) MSC: 91-01 91G70 91G40 91G10 91G60 PDF BibTeX XML Cite \textit{G. Larcher}, The art of quantitative finance Vol. 3. Risk, optimal portfolios, and case studies. Cham: Springer (2023; Zbl 07689176) Full Text: DOI
Gashi, Bujar; Hua, Haochen Optimal regulators for a class of nonlinear stochastic systems. (English) Zbl 1515.93211 Int. J. Control 96, No. 1, 136-146 (2023). MSC: 93E20 93C10 91G10 PDF BibTeX XML Cite \textit{B. Gashi} and \textit{H. Hua}, Int. J. Control 96, No. 1, 136--146 (2023; Zbl 1515.93211) Full Text: DOI
Xu, Lin; Wang, Linlin; Liu, Xiao; Wang, Hao Optimal active lifetime investment. (English) Zbl 1514.91177 Int. J. Control 96, No. 1, 48-57 (2023). MSC: 91G10 49L20 60J20 PDF BibTeX XML Cite \textit{L. Xu} et al., Int. J. Control 96, No. 1, 48--57 (2023; Zbl 1514.91177) Full Text: DOI
Sass, Jörn; Westphal, Dorothee; Wunderlich, Ralf Diffusion approximations for periodically arriving expert opinions in a financial market with Gaussian drift. (English) Zbl 1516.91060 Stoch. Models 39, No. 2, 323-362 (2023). Reviewer: Pavel Stoynov (Sofia) MSC: 91G15 91G10 93E20 60F25 60G35 PDF BibTeX XML Cite \textit{J. Sass} et al., Stoch. Models 39, No. 2, 323--362 (2023; Zbl 1516.91060) Full Text: DOI
Wu, Zhongming; Sun, Kexin Distributionally robust optimization with Wasserstein metric for multi-period portfolio selection under uncertainty. (English) Zbl 1510.91155 Appl. Math. Modelling 117, 513-528 (2023). MSC: 91G10 49Q22 90C17 PDF BibTeX XML Cite \textit{Z. Wu} and \textit{K. Sun}, Appl. Math. Modelling 117, 513--528 (2023; Zbl 1510.91155) Full Text: DOI
He, Wei; Luo, Peng; Wang, Falei Maximum principle for mean-field SDEs under model uncertainty. (English) Zbl 1514.93062 Appl. Math. Optim. 87, No. 3, Paper No. 59, 42 p. (2023). MSC: 93E20 60H30 91G10 PDF BibTeX XML Cite \textit{W. He} et al., Appl. Math. Optim. 87, No. 3, Paper No. 59, 42 p. (2023; Zbl 1514.93062) Full Text: DOI
Wen, Jiaqiang; Li, Xun; Xiong, Jie; Zhang, Xin Stochastic linear-quadratic optimal control problems with random coefficients and Markovian regime switching system. (English) Zbl 1512.49033 SIAM J. Control Optim. 61, No. 2, 949-979 (2023). Reviewer: Savin Treanta (Bucureşti) MSC: 49N10 49J55 93E20 PDF BibTeX XML Cite \textit{J. Wen} et al., SIAM J. Control Optim. 61, No. 2, 949--979 (2023; Zbl 1512.49033) Full Text: DOI arXiv
Gang, Tae Ung; Choi, Jin Hyuk Optimal investment in an illiquid market with search frictions and transaction costs. (English) Zbl 1512.91121 Appl. Math. Optim. 88, No. 1, Paper No. 3, 49 p. (2023). MSC: 91G10 93E20 PDF BibTeX XML Cite \textit{T. U. Gang} and \textit{J. H. Choi}, Appl. Math. Optim. 88, No. 1, Paper No. 3, 49 p. (2023; Zbl 1512.91121) Full Text: DOI arXiv
Nagai, Hideo Optimal consumption-investment under partial information in conditionally log-Gaussian models. (English) Zbl 1509.91039 Probab. Uncertain. Quant. Risk 8, No. 1, 95-120 (2023). MSC: 91G10 35Q91 49L20 60H30 93E20 PDF BibTeX XML Cite \textit{H. Nagai}, Probab. Uncertain. Quant. Risk 8, No. 1, 95--120 (2023; Zbl 1509.91039) Full Text: DOI
Shen, Weiwei; Yin, Juliang Optimal portfolio problem for an insurer under mean-variance criteria with jump-diffusion stochastic volatility model. (English) Zbl 07677923 J. Ind. Manag. Optim. 19, No. 9, 7054-7071 (2023). MSC: 91G05 91G10 60H30 93E20 PDF BibTeX XML Cite \textit{W. Shen} and \textit{J. Yin}, J. Ind. Manag. Optim. 19, No. 9, 7054--7071 (2023; Zbl 07677923) Full Text: DOI
Jeon, Junkee; Park, Kyunghyun Optimal job switching and retirement decision. (English) Zbl 1511.91072 Appl. Math. Comput. 443, Article ID 127777, 25 p. (2023). MSC: 91B39 60G40 93E20 PDF BibTeX XML Cite \textit{J. Jeon} and \textit{K. Park}, Appl. Math. Comput. 443, Article ID 127777, 25 p. (2023; Zbl 1511.91072) Full Text: DOI
Marisu, Godeliva Petrina; Pun, Chi Seng Bayesian estimation and optimization for learning sequential regularized portfolios. (English) Zbl 1511.91132 SIAM J. Financ. Math. 14, No. 1, 127-157 (2023). MSC: 91G10 90C05 93E20 PDF BibTeX XML Cite \textit{G. P. Marisu} and \textit{C. S. Pun}, SIAM J. Financ. Math. 14, No. 1, 127--157 (2023; Zbl 1511.91132) Full Text: DOI
Aichinger, Florian; Desmettre, Sascha Utility maximization in multivariate Volterra models. (English) Zbl 1509.91036 SIAM J. Financ. Math. 14, No. 1, 52-98 (2023). MSC: 91G10 93E20 60G22 60H20 PDF BibTeX XML Cite \textit{F. Aichinger} and \textit{S. Desmettre}, SIAM J. Financ. Math. 14, No. 1, 52--98 (2023; Zbl 1509.91036) Full Text: DOI arXiv
Fu, Guanxing Extended mean field games with singular controls. (English) Zbl 1511.91014 SIAM J. Control Optim. 61, No. 1, 283-312 (2023). MSC: 91A16 91G10 93E20 60H30 PDF BibTeX XML Cite \textit{G. Fu}, SIAM J. Control Optim. 61, No. 1, 283--312 (2023; Zbl 1511.91014) Full Text: DOI arXiv
Zhang, Yumo Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences. (English) Zbl 07668988 J. Ind. Manag. Optim. 19, No. 8, 5767-5796 (2023). MSC: 91G10 60H30 93E20 PDF BibTeX XML Cite \textit{Y. Zhang}, J. Ind. Manag. Optim. 19, No. 8, 5767--5796 (2023; Zbl 07668988) Full Text: DOI
Liu, Jingzhen; Yiu, Ka-Fai Cedric; Li, Xun; Siu, Tak Kuen; Teo, Kok Lay Mean-variance portfolio selection with random investment horizon. (English) Zbl 07668941 J. Ind. Manag. Optim. 19, No. 7, 4726-4739 (2023). MSC: 91G10 49L12 93E20 PDF BibTeX XML Cite \textit{J. Liu} et al., J. Ind. Manag. Optim. 19, No. 7, 4726--4739 (2023; Zbl 07668941) Full Text: DOI
Dong, Xue; Rong, Ximin; Zhao, Hui Non-zero-sum reinsurance and investment game with correlation between insurance market and financial market under CEV model. (English) Zbl 07668924 J. Ind. Manag. Optim. 19, No. 6, 4255-4293 (2023). MSC: 03E20 91G80 91G10 PDF BibTeX XML Cite \textit{X. Dong} et al., J. Ind. Manag. Optim. 19, No. 6, 4255--4293 (2023; Zbl 07668924) Full Text: DOI
Zhang, Yumo Mean-variance asset-liability management under CIR interest rate and the family of 4/2 stochastic volatility models with derivative trading. (English) Zbl 07668915 J. Ind. Manag. Optim. 19, No. 6, 4022-4063 (2023). MSC: 91G10 60H30 93E20 PDF BibTeX XML Cite \textit{Y. Zhang}, J. Ind. Manag. Optim. 19, No. 6, 4022--4063 (2023; Zbl 07668915) Full Text: DOI
Dou, Zheng; Lai, Shaoyong Optimal contracts and asset prices in a continuous-time delegated portfolio management problem. (English) Zbl 07668877 J. Ind. Manag. Optim. 19, No. 5, 3186-3216 (2023). MSC: 91G10 49L20 91B41 91B43 PDF BibTeX XML Cite \textit{Z. Dou} and \textit{S. Lai}, J. Ind. Manag. Optim. 19, No. 5, 3186--3216 (2023; Zbl 07668877) Full Text: DOI
Shi, Ailing; Li, Xingyi; Li, Zhongfei Optimal portfolio selection with life insurance under subjective survival belief and habit formation. (English) Zbl 07668845 J. Ind. Manag. Optim. 19, No. 4, 2464-2484 (2023). MSC: 91G10 91G05 93E20 PDF BibTeX XML Cite \textit{A. Shi} et al., J. Ind. Manag. Optim. 19, No. 4, 2464--2484 (2023; Zbl 07668845) Full Text: DOI
Alia, Ishak; Alia, Mohamed Sofiane Open-loop equilibrium strategy for mean-variance portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model. (English) Zbl 07668842 J. Ind. Manag. Optim. 19, No. 4, 2396-2435 (2023). MSC: 91G10 93E20 60H30 PDF BibTeX XML Cite \textit{I. Alia} and \textit{M. S. Alia}, J. Ind. Manag. Optim. 19, No. 4, 2396--2435 (2023; Zbl 07668842) Full Text: DOI
Bellalah, Mondher; Zhang, Detao; Zhang, Panpan An optimal portfolio and consumption problem with a benchmark and partial information. (English) Zbl 1508.91495 Math. Financ. Econ. 17, No. 1, 127-152 (2023). MSC: 91G10 49L12 PDF BibTeX XML Cite \textit{M. Bellalah} et al., Math. Financ. Econ. 17, No. 1, 127--152 (2023; Zbl 1508.91495) Full Text: DOI
Hernández-Bustos, Diego; Hernández-Hernández, Daniel Portfolio management under drawdown constraint in discrete-time financial markets. (English) Zbl 1508.91503 J. Appl. Probab. 60, No. 1, 127-147 (2023). MSC: 91G10 90C40 PDF BibTeX XML Cite \textit{D. Hernández-Bustos} and \textit{D. Hernández-Hernández}, J. Appl. Probab. 60, No. 1, 127--147 (2023; Zbl 1508.91503) Full Text: DOI
Zhang, Yu-Song; Fei, Chen; Pan, Hai-Feng; Huang, Jian Optimal consumption, leisure and job choice under inflationary environment. (English) Zbl 07660457 J. Oper. Res. Soc. China 11, No. 1, 83-107 (2023). MSC: 91G05 90B50 93E20 60H30 PDF BibTeX XML Cite \textit{Y.-S. Zhang} et al., J. Oper. Res. Soc. China 11, No. 1, 83--107 (2023; Zbl 07660457) Full Text: DOI
Gashi, Bujar; Zhang, Moyu Indefinite risk-sensitive control. (English) Zbl 1507.93252 Eur. J. Control 69, Article ID 100741, 7 p. (2023). MSC: 93E20 91G10 91G30 PDF BibTeX XML Cite \textit{B. Gashi} and \textit{M. Zhang}, Eur. J. Control 69, Article ID 100741, 7 p. (2023; Zbl 1507.93252) Full Text: DOI
He, Yong; Chen, Peimin; He, Lin; Xiang, Kaili; Wu, Chunchi A dynamic Heston local-stochastic volatility model and Legendre transform dual-asymptotic solution for optimal investment strategy problems with CARA utility. (English) Zbl 1505.91350 J. Comput. Appl. Math. 423, Article ID 114993, 20 p. (2023). MSC: 91G10 93E20 PDF BibTeX XML Cite \textit{Y. He} et al., J. Comput. Appl. Math. 423, Article ID 114993, 20 p. (2023; Zbl 1505.91350) Full Text: DOI
Guan, Guohui; Liang, Zongxia; Xia, Yi Optimal management of DC pension fund under the relative performance ratio and VaR constraint. (English) Zbl 07619290 Eur. J. Oper. Res. 305, No. 2, 868-886 (2023). MSC: 91G05 91G10 93E20 PDF BibTeX XML Cite \textit{G. Guan} et al., Eur. J. Oper. Res. 305, No. 2, 868--886 (2023; Zbl 07619290) Full Text: DOI arXiv
Sen, Rituparna; Das, Sourish Computational finance with R. (English) Zbl 1519.91004 Indian Statistical Institute Series. Singapore: Springer (ISBN 978-981-19-2007-3/hbk; 978-981-19-2008-0/ebook). xiii, 353 p. (2023). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91-02 65-02 62-02 91G60 65R20 65M06 65C05 91G20 90C05 62P05 62F15 62D05 62F40 91G10 91-04 PDF BibTeX XML Cite \textit{R. Sen} and \textit{S. Das}, Computational finance with R. Singapore: Springer (2023; Zbl 1519.91004) Full Text: DOI
Bodnar, Taras; Dette, Holger; Parolya, Nestor; Thorsén, Erik Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions. (English) Zbl 07762538 Random Matrices Theory Appl. 11, No. 1, Article ID 2250008, 47 p. (2022). MSC: 62E15 62E20 62H12 62H15 62P05 91G10 PDF BibTeX XML Cite \textit{T. Bodnar} et al., Random Matrices Theory Appl. 11, No. 1, Article ID 2250008, 47 p. (2022; Zbl 07762538) Full Text: DOI arXiv
Chen, Xinfu; Dai, Min; Jiang, Wei; Qin, Cong Asymptotic analysis of long-term investment with two illiquid and correlated assets. (English) Zbl 07743089 Math. Finance 32, No. 4, 1133-1169 (2022). MSC: 91G10 49L25 35C20 91G60 65M06 PDF BibTeX XML Cite \textit{X. Chen} et al., Math. Finance 32, No. 4, 1133--1169 (2022; Zbl 07743089) Full Text: DOI
Bensoussan, Alain; Cheung, Ka Chun; Li, Yiqun; Yam, Sheung Chi Phillip Inter-temporal mutual-fund management. (English) Zbl 07743079 Math. Finance 32, No. 3, 825-877 (2022). MSC: 91G10 49L12 49L20 PDF BibTeX XML Cite \textit{A. Bensoussan} et al., Math. Finance 32, No. 3, 825--877 (2022; Zbl 07743079) Full Text: DOI
Forsyth, Peter A.; Vetzal, Kenneth R. Multi-period mean expected-shortfall strategies: ‘cut your losses and ride your gains’. (English) Zbl 1520.91367 Appl. Math. Finance 29, No. 5, 402-438 (2022). MSC: 91G10 91G70 93E20 PDF BibTeX XML Cite \textit{P. A. Forsyth} and \textit{K. R. Vetzal}, Appl. Math. Finance 29, No. 5, 402--438 (2022; Zbl 1520.91367) Full Text: DOI
Zhao, Leilei Chang Hao Li Jiaao A defined contribution pension plan with multiple risks under the mean-variance criterion. (Chinese. English summary) Zbl 07710536 Chin. J. Appl. Probab. Stat. 38, No. 6, 847-866 (2022). MSC: 91G10 60H30 93E20 PDF BibTeX XML Cite \textit{L. C. H. L. J. Zhao}, Chin. J. Appl. Probab. Stat. 38, No. 6, 847--866 (2022; Zbl 07710536) Full Text: DOI
Kulyan, V. R.; Yun’kova, O. O.; Korobova, M. V. Solutions sensitivity when modeling of investment dynamics. (Ukrainian. English summary) Zbl 07709366 Visn., Ser. Fiz.-Mat. Nauky, Kyïv. Univ. Im. Tarasa Shevchenka 2022, No. 4, 51-54 (2022). MSC: 91G10 91G20 PDF BibTeX XML Cite \textit{V. R. Kulyan} et al., Visn., Ser. Fiz.-Mat. Nauky, Kyïv. Univ. Im. Tarasa Shevchenka 2022, No. 4, 51--54 (2022; Zbl 07709366) Full Text: DOI
Shi, Yuan; Zhao, Yongxia \(\alpha\)-robust optimal investment strategy for target benefit pension plans under default risk. (Chinese. English summary) Zbl 07694532 Acta Math. Sci., Ser. A, Chin. Ed. 42, No. 3, 943-960 (2022). MSC: 91G05 91G10 93E20 49L12 PDF BibTeX XML Cite \textit{Y. Shi} and \textit{Y. Zhao}, Acta Math. Sci., Ser. A, Chin. Ed. 42, No. 3, 943--960 (2022; Zbl 07694532) Full Text: Link
Liu, Chun-An; Lei, Qian; Jia, Huamin Maximum entropy bi-objective model and its evolutionary algorithm for portfolio optimization. (English) Zbl 1512.91123 Asia-Pac. J. Oper. Res. 39, No. 6, Article ID 2250014, 26 p. (2022). MSC: 91G10 90C29 PDF BibTeX XML Cite \textit{C.-A. Liu} et al., Asia-Pac. J. Oper. Res. 39, No. 6, Article ID 2250014, 26 p. (2022; Zbl 1512.91123) Full Text: DOI
Souza, Max O.; Thamsten, Y. On regularized optimal execution problems and their singular limits. (English) Zbl 1508.91512 Appl. Math. Finance 29, No. 2, 79-109 (2022). MSC: 91G10 93E20 49L25 PDF BibTeX XML Cite \textit{M. O. Souza} and \textit{Y. Thamsten}, Appl. Math. Finance 29, No. 2, 79--109 (2022; Zbl 1508.91512) Full Text: DOI arXiv
Ieda, Masashi Continuous-time portfolio optimization for absolute return funds. (English) Zbl 1508.91504 Asia-Pac. Financ. Mark. 29, No. 4, 675-696 (2022). MSC: 91G10 93E20 49L12 PDF BibTeX XML Cite \textit{M. Ieda}, Asia-Pac. Financ. Mark. 29, No. 4, 675--696 (2022; Zbl 1508.91504) Full Text: DOI arXiv
Lichtenstern, Andreas; Zagst, Rudi Optimal investment strategies for pension funds with regulation-conform dynamic pension payment management in the absence of guarantees. (English) Zbl 1505.91333 Eur. Actuar. J. 12, No. 2, 647-700 (2022). MSC: 91G05 91G10 PDF BibTeX XML Cite \textit{A. Lichtenstern} and \textit{R. Zagst}, Eur. Actuar. J. 12, No. 2, 647--700 (2022; Zbl 1505.91333) Full Text: DOI
Ferrari, Giorgio; Li, Hanwu; Riedel, Frank Optimal consumption with Hindy-Huang-Kreps preferences under nonlinear expectations. (English) Zbl 1505.91348 Adv. Appl. Probab. 54, No. 4, 1222-1251 (2022). MSC: 91G10 93E20 91B42 60H30 PDF BibTeX XML Cite \textit{G. Ferrari} et al., Adv. Appl. Probab. 54, No. 4, 1222--1251 (2022; Zbl 1505.91348) Full Text: DOI
Tian, Dejian; Fang, Jie Optimal consumption and portfolio with consistent performance under Knight uncertainty. (Chinese. English summary) Zbl 1499.91123 Chin. J. Appl. Probab. Stat. 38, No. 3, 402-412 (2022). MSC: 91G10 62P05 PDF BibTeX XML Cite \textit{D. Tian} and \textit{J. Fang}, Chin. J. Appl. Probab. Stat. 38, No. 3, 402--412 (2022; Zbl 1499.91123) Full Text: Link
Cao, Jiling; Peng, Beidi; Zhang, Wenjun Robust portfolio optimization under hybrid CEV and stochastic volatility. (English) Zbl 1505.91346 J. Korean Math. Soc. 59, No. 6, 1153-1170 (2022). MSC: 91G10 93E20 35Q91 PDF BibTeX XML Cite \textit{J. Cao} et al., J. Korean Math. Soc. 59, No. 6, 1153--1170 (2022; Zbl 1505.91346) Full Text: DOI
Hu, Lei; Xu, Dinghua Parameter identification for portfolio optimization with a slow stochastic factor. (English) Zbl 1502.35175 J. Inverse Ill-Posed Probl. 30, No. 6, 777-789 (2022). MSC: 35Q91 35R30 60J65 65C05 91G10 91G20 93E20 35B35 35A02 35B40 PDF BibTeX XML Cite \textit{L. Hu} and \textit{D. Xu}, J. Inverse Ill-Posed Probl. 30, No. 6, 777--789 (2022; Zbl 1502.35175) Full Text: DOI
Guan, Guohui; Li, Bin Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution. (English) Zbl 1517.91190 J. Econ. Dyn. Control 143, Article ID 104515, 20 p. (2022). MSC: 91G05 91G10 PDF BibTeX XML Cite \textit{G. Guan} and \textit{B. Li}, J. Econ. Dyn. Control 143, Article ID 104515, 20 p. (2022; Zbl 1517.91190) Full Text: DOI
de Franco, Carmine; Nicolle, Johann; Huyên Pham Discrete-time portfolio optimization under maximum drawdown constraint with partial information and deep learning resolution. (English) Zbl 1504.91290 Yin, George (ed.) et al., Stochastic analysis, filtering, and stochastic optimization. A commemorative volume to honor Mark H. A. Davis’s contributions. Cham: Springer. 101-136 (2022). MSC: 91G10 93E20 49L20 68T07 PDF BibTeX XML Cite \textit{C. de Franco} et al., in: Stochastic analysis, filtering, and stochastic optimization. A commemorative volume to honor Mark H. A. Davis's contributions. Cham: Springer. 101--136 (2022; Zbl 1504.91290) Full Text: DOI arXiv
Yang, Tingting; Huang, Xiaoxia A new portfolio optimization model under tracking-error constraint with linear uncertainty distributions. (English) Zbl 1507.91208 J. Optim. Theory Appl. 195, No. 2, 723-747 (2022). MSC: 91G10 93E20 PDF BibTeX XML Cite \textit{T. Yang} and \textit{X. Huang}, J. Optim. Theory Appl. 195, No. 2, 723--747 (2022; Zbl 1507.91208) Full Text: DOI
Bank, Peter; Körber, Laura Merton’s optimal investment problem with jump signals. (English) Zbl 1511.91124 SIAM J. Financ. Math. 13, No. 4, 1302-1325 (2022). Reviewer: Claudio Fontana (Paris) MSC: 91G10 93E20 60J74 PDF BibTeX XML Cite \textit{P. Bank} and \textit{L. Körber}, SIAM J. Financ. Math. 13, No. 4, 1302--1325 (2022; Zbl 1511.91124) Full Text: DOI arXiv
Shen, Yang; Zou, Bin Short communication: cone-constrained monotone mean-variance portfolio selection under diffusion models. (English) Zbl 1508.91511 SIAM J. Financ. Math. 13, No. 4, SC99-SC112 (2022). Reviewer: Paweł Kliber (Poznan) MSC: 91G10 93E20 60H10 PDF BibTeX XML Cite \textit{Y. Shen} and \textit{B. Zou}, SIAM J. Financ. Math. 13, No. 4, SC99-SC112 (2022; Zbl 1508.91511) Full Text: DOI arXiv
Golubin, A. Y. Optimal investment policy in a multi-stage problem with bankruptcy and stage-by-stage probability constraints. (English) Zbl 1500.91123 Optimization 71, No. 10, 2963-2977 (2022). MSC: 91G10 93E20 PDF BibTeX XML Cite \textit{A. Y. Golubin}, Optimization 71, No. 10, 2963--2977 (2022; Zbl 1500.91123) Full Text: DOI