Baltas, Ioannis Optimal investment in a general stochastic factor framework under model uncertainty. (English) Zbl 07805239 J. Dyn. Games 11, No. 1, 20-47 (2024). MSC: 91G10 93E20 91A15 91A80 PDFBibTeX XMLCite \textit{I. Baltas}, J. Dyn. Games 11, No. 1, 20--47 (2024; Zbl 07805239) Full Text: DOI
Jeon, Junkee; Oh, Jehan Labor supply flexibility and portfolio selection with early retirement option. (English) Zbl 07771775 Appl. Math. Optim. 88, No. 3, Paper No. 88, 50 p. (2023). MSC: 91G10 93E20 60G40 49N15 PDFBibTeX XMLCite \textit{J. Jeon} and \textit{J. Oh}, Appl. Math. Optim. 88, No. 3, Paper No. 88, 50 p. (2023; Zbl 07771775) 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 1526.91023 J. Econ. Dyn. Control 156, Article ID 104751, 31 p. (2023). MSC: 91G10 93E20 91B16 PDFBibTeX XMLCite \textit{X. Bi} et al., J. Econ. Dyn. Control 156, Article ID 104751, 31 p. (2023; Zbl 1526.91023) Full Text: DOI
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 PDFBibTeX XMLCite \textit{D. Bartl} and \textit{J. Wiesel}, SIAM J. Financ. Math. 14, No. 2, 704--720 (2023; Zbl 1520.91364) Full Text: DOI arXiv
Hsieh, Chung-Han On asymptotic log-optimal portfolio optimization. (English) Zbl 1520.91368 Automatica 151, Article ID 110901, 11 p. (2023). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{C.-H. Hsieh}, Automatica 151, Article ID 110901, 11 p. (2023; Zbl 1520.91368) 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 PDFBibTeX XMLCite \textit{W. Wu} et al., J. Comput. Appl. Math. 427, Article ID 115103, 19 p. (2023; Zbl 1518.91252) Full Text: DOI
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 PDFBibTeX XMLCite \textit{P. M. Van Staden} et al., SIAM J. Financ. Math. 14, No. 2, 407--451 (2023; Zbl 1516.91055) 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 PDFBibTeX XMLCite \textit{J. Sass} et al., Stoch. Models 39, No. 2, 323--362 (2023; Zbl 1516.91060) 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 1524.91090 J. Ind. Manag. Optim. 19, No. 9, 7054-7071 (2023). MSC: 91G05 91G10 60H30 93E20 PDFBibTeX XMLCite \textit{W. Shen} and \textit{J. Yin}, J. Ind. Manag. Optim. 19, No. 9, 7054--7071 (2023; Zbl 1524.91090) 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 PDFBibTeX XMLCite \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
Guan, Chonghu; Fan, Jiacheng; Xu, Zuo Quan Optimal dividend payout with path-dependent drawdown constraint. arXiv:2312.01668 Preprint, arXiv:2312.01668 [q-fin.MF] (2023). MSC: 35R35 35Q93 91G10 91G30 93E20 BibTeX Cite \textit{C. Guan} et al., ``Optimal dividend payout with path-dependent drawdown constraint'', Preprint, arXiv:2312.01668 [q-fin.MF] (2023) Full Text: arXiv OA License
Yang, Zhou; Jeon, Junkee A Problem of Finite-Horizon Optimal Switching and Stochastic Control for Utility Maximization. arXiv:2309.12588 Preprint, arXiv:2309.12588 [math.OC] (2023). MSC: 91G10 93E20 35R35 35Q93 BibTeX Cite \textit{Z. Yang} and \textit{J. Jeon}, ``A Problem of Finite-Horizon Optimal Switching and Stochastic Control for Utility Maximization'', Preprint, arXiv:2309.12588 [math.OC] (2023) Full Text: arXiv OA License
Guan, Chonghu; Xu, Zuo Quan Optimal ratcheting of dividend payout under Brownian motion surplus. arXiv:2308.15048 Preprint, arXiv:2308.15048 [q-fin.MF] (2023). MSC: 35R35 35Q93 91G10 91G30 93E20 BibTeX Cite \textit{C. Guan} and \textit{Z. Q. Xu}, ``Optimal ratcheting of dividend payout under Brownian motion surplus'', Preprint, arXiv:2308.15048 [q-fin.MF] (2023) Full Text: arXiv OA License
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 PDFBibTeX XMLCite \textit{M. Ieda}, Asia-Pac. Financ. Mark. 29, No. 4, 675--696 (2022; Zbl 1508.91504) Full Text: DOI arXiv
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 PDFBibTeX XMLCite \textit{L. Hu} and \textit{D. Xu}, J. Inverse Ill-Posed Probl. 30, No. 6, 777--789 (2022; Zbl 1502.35175) Full Text: DOI
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 PDFBibTeX XMLCite \textit{A. Y. Golubin}, Optimization 71, No. 10, 2963--2977 (2022; Zbl 1500.91123) Full Text: DOI
Chen, Kexin; Jeon, Junkee; Wong, Hoi Ying Optimal retirement under partial information. (English) Zbl 1509.60098 Math. Oper. Res. 47, No. 3, 1802-1832 (2022). Reviewer: Krzysztof J. Szajowski (Wrocław) MSC: 60G40 93E20 49K10 PDFBibTeX XMLCite \textit{K. Chen} et al., Math. Oper. Res. 47, No. 3, 1802--1832 (2022; Zbl 1509.60098) Full Text: DOI
Müller, Lukas Optimal portfolio choice with crash and default risk. (English) Zbl 1498.91402 Int. J. Theor. Appl. Finance 25, No. 4-5, Article ID 2250023, 31 p. (2022). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{L. Müller}, Int. J. Theor. Appl. Finance 25, No. 4--5, Article ID 2250023, 31 p. (2022; Zbl 1498.91402) Full Text: DOI
Mavungu, Masiala Point-to-point stochastic control of a self-financing portfolio. (English) Zbl 1498.91399 Algorithm. Finance 9, No. 3-4, 129-143 (2022). MSC: 91G10 93E20 60H30 PDFBibTeX XMLCite \textit{M. Mavungu}, Algorithm. Finance 9, No. 3--4, 129--143 (2022; Zbl 1498.91399) Full Text: DOI
Syaifudin, Wawan Hafid; Putri, Endah R. M. The application of model predictive control on stock portfolio optimization with prediction based on geometric Brownian motion-Kalman filter. (English) Zbl 1513.91075 J. Ind. Manag. Optim. 18, No. 5, 3433-3443 (2022). MSC: 91G10 93B45 93E11 PDFBibTeX XMLCite \textit{W. H. Syaifudin} and \textit{E. R. M. Putri}, J. Ind. Manag. Optim. 18, No. 5, 3433--3443 (2022; Zbl 1513.91075) Full Text: DOI
Biagini, Sara; Gozzi, Fausto; Zanella, Margherita Robust portfolio choice with sticky wages. (English) Zbl 1498.91377 SIAM J. Financ. Math. 13, No. 3, 1004-1039 (2022). MSC: 91G10 93E20 34K50 PDFBibTeX XMLCite \textit{S. Biagini} et al., SIAM J. Financ. Math. 13, No. 3, 1004--1039 (2022; Zbl 1498.91377) Full Text: DOI arXiv
Zhao, Ying; Mi, Hui; Xu, Lixia Robust optimal investment problem with delay under Heston’s model. (English) Zbl 1489.91244 Methodol. Comput. Appl. Probab. 24, No. 2, 1271-1296 (2022). MSC: 91G10 91B70 93E20 PDFBibTeX XMLCite \textit{Y. Zhao} et al., Methodol. Comput. Appl. Probab. 24, No. 2, 1271--1296 (2022; Zbl 1489.91244) Full Text: DOI
MacKay, Anne; Ocejo, Adriana Portfolio optimization with a guaranteed minimum maturity benefit and risk-adjusted fees. (English) Zbl 1489.91225 Methodol. Comput. Appl. Probab. 24, No. 2, 1021-1049 (2022). MSC: 91G05 91G10 93E20 49J55 PDFBibTeX XMLCite \textit{A. MacKay} and \textit{A. Ocejo}, Methodol. Comput. Appl. Probab. 24, No. 2, 1021--1049 (2022; Zbl 1489.91225) Full Text: DOI
Campbell, Steven; Leonard Wong, Ting-Kam Functional portfolio optimization in stochastic portfolio theory. (English) Zbl 1491.91114 SIAM J. Financ. Math. 13, No. 2, 576-618 (2022). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{S. Campbell} and \textit{T.-K. Leonard Wong}, SIAM J. Financ. Math. 13, No. 2, 576--618 (2022; Zbl 1491.91114) Full Text: DOI arXiv
Ji, Ran; Lejeune, Miguel A.; Fan, Zhengyang Distributionally robust portfolio optimization with linearized STARR performance measure. (English) Zbl 1484.91427 Quant. Finance 22, No. 1, 113-127 (2022). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{R. Ji} et al., Quant. Finance 22, No. 1, 113--127 (2022; Zbl 1484.91427) Full Text: DOI
Sass, Jörn; Westphal, Dorothee Robust utility maximizing strategies under model uncertainty and their convergence. (English) Zbl 1484.91439 Math. Financ. Econ. 16, No. 2, 367-397 (2022). MSC: 91G10 91B16 93E20 PDFBibTeX XMLCite \textit{J. Sass} and \textit{D. Westphal}, Math. Financ. Econ. 16, No. 2, 367--397 (2022; Zbl 1484.91439) Full Text: DOI arXiv
Korn, Ralf; Müller, Lukas Optimal portfolios in the presence of stress scenarios a worst-case approach. (English) Zbl 1484.91428 Math. Financ. Econ. 16, No. 1, 153-185 (2022). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{R. Korn} and \textit{L. Müller}, Math. Financ. Econ. 16, No. 1, 153--185 (2022; Zbl 1484.91428) Full Text: DOI
Fouque, Jean-Pierre; Hu, Ruimeng; Sircar, Ronnie Sub- and supersolution approach to accuracy analysis of portfolio optimization asymptotics in multiscale stochastic factor markets. (English) Zbl 1483.91214 SIAM J. Financ. Math. 13, No. 1, 109-128 (2022). MSC: 91G10 93E20 60H30 35C20 PDFBibTeX XMLCite \textit{J.-P. Fouque} et al., SIAM J. Financ. Math. 13, No. 1, 109--128 (2022; Zbl 1483.91214) Full Text: DOI arXiv
Zhu, Yichen; Escobar-Anel, Marcos Polynomial affine approach to HARA utility maximization with applications to Ornstein-Uhlenbeck \(4/2\) models. (Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck \(4/2\) models.) (English) Zbl 1510.91158 Appl. Math. Comput. 418, Article ID 126836, 18 p. (2022). MSC: 91G10 49K45 49M25 49N90 60H35 93E20 PDFBibTeX XMLCite \textit{Y. Zhu} and \textit{M. Escobar-Anel}, Appl. Math. Comput. 418, Article ID 126836, 18 p. (2022; Zbl 1510.91158) Full Text: DOI
Geissel, S.; Graf, H.; Herbinger, J.; Seifried, F. T. Portfolio optimization with optimal expected utility risk measures. (English) Zbl 1482.91195 Ann. Oper. Res. 309, No. 1, 59-77 (2022). MSC: 91G10 93E20 91G70 62M10 PDFBibTeX XMLCite \textit{S. Geissel} et al., Ann. Oper. Res. 309, No. 1, 59--77 (2022; Zbl 1482.91195) Full Text: DOI
de Melo, Maisa Kely; Cardoso, Rodrigo T. N.; Jesus, Tales A. Multiobjective dynamic optimization of investment portfolio based on model predictive control. (English) Zbl 1480.91265 SIAM J. Control Optim. 60, No. 1, 104-123 (2022). MSC: 91G10 93B45 90C29 PDFBibTeX XMLCite \textit{M. K. de Melo} et al., SIAM J. Control Optim. 60, No. 1, 104--123 (2022; Zbl 1480.91265) Full Text: DOI
Guan, Chonghu; Shi, Xiaomin; Xu, Zuo Quan Continuous-time Markowitz’s mean-variance model under different borrowing and saving rates. arXiv:2201.00914 Preprint, arXiv:2201.00914 [q-fin.MF] (2022). MSC: 35R35 35Q93 91G10 91G30 93E20 BibTeX Cite \textit{C. Guan} et al., ``Continuous-time Markowitz's mean-variance model under different borrowing and saving rates'', Preprint, arXiv:2201.00914 [q-fin.MF] (2022) Full Text: arXiv OA License
Nikulin, Yury; Emelichev, Vladimir Analyzing stability of extreme portfolios. (English) Zbl 1522.91230 Olenev, Nicholas N. (ed.) et al., Optimization and applications. 12th international conference, OPTIMA 2021, Petrovac, Montenegro, September 27 – October 1, 2021. Proceedings. Cham: Springer. Lect. Notes Comput. Sci. 13078, 303-317 (2021). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{Y. Nikulin} and \textit{V. Emelichev}, Lect. Notes Comput. Sci. 13078, 303--317 (2021; Zbl 1522.91230) Full Text: DOI
Li, Tiantian; Kim, Young Shin; Fan, Qi; Zhu, Fumin Aumann-Serrano index of risk in portfolio optimization. (English) Zbl 1481.91197 Math. Methods Oper. Res. 94, No. 2, 197-217 (2021). MSC: 91G10 93E20 91G70 PDFBibTeX XMLCite \textit{T. Li} et al., Math. Methods Oper. Res. 94, No. 2, 197--217 (2021; Zbl 1481.91197) Full Text: DOI
Lin, Minglian; SenGupta, Indranil Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility market model. (English) Zbl 1480.91269 SIAM J. Financ. Math. 12, No. 4, 1596-1624 (2021). MSC: 91G10 93E20 60G51 PDFBibTeX XMLCite \textit{M. Lin} and \textit{I. SenGupta}, SIAM J. Financ. Math. 12, No. 4, 1596--1624 (2021; Zbl 1480.91269) Full Text: DOI arXiv
Yin, C.; Perchet, R.; Soupé, F. A practical guide to robust portfolio optimization. (English) Zbl 1479.91369 Quant. Finance 21, No. 6, 911-928 (2021). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{C. Yin} et al., Quant. Finance 21, No. 6, 911--928 (2021; Zbl 1479.91369) Full Text: DOI
Lefebvre, William; Miller, Enzo Linear-quadratic stochastic delayed control and deep learning resolution. (English) Zbl 1478.93734 J. Optim. Theory Appl. 191, No. 1, 134-168 (2021). MSC: 93E20 93C43 34K50 35Q93 91G10 68T07 PDFBibTeX XMLCite \textit{W. Lefebvre} and \textit{E. Miller}, J. Optim. Theory Appl. 191, No. 1, 134--168 (2021; Zbl 1478.93734) Full Text: DOI arXiv
Sarantsev, Andrey Optimal portfolio with power utility of absolute and relative wealth. (English) Zbl 1522.91235 Stat. Probab. Lett. 179, Article ID 109225, 8 p. (2021). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{A. Sarantsev}, Stat. Probab. Lett. 179, Article ID 109225, 8 p. (2021; Zbl 1522.91235) Full Text: DOI arXiv
Colaneri, Katia; Herzel, Stefano; Nicolosi, Marco The value of knowing the market price of risk. (English) Zbl 1476.91144 Ann. Oper. Res. 299, No. 1-2, 101-131 (2021). MSC: 91G10 93E20 60G44 PDFBibTeX XMLCite \textit{K. Colaneri} et al., Ann. Oper. Res. 299, No. 1--2, 101--131 (2021; Zbl 1476.91144) Full Text: DOI arXiv
Chen, Tao; Ludkovski, Michael A machine learning approach to adaptive robust utility maximization and hedging. (English) Zbl 1476.91143 SIAM J. Financ. Math. 12, No. 3, 1226-1256 (2021). MSC: 91G10 91G60 65C05 91G80 93E20 93E35 PDFBibTeX XMLCite \textit{T. Chen} and \textit{M. Ludkovski}, SIAM J. Financ. Math. 12, No. 3, 1226--1256 (2021; Zbl 1476.91143) Full Text: DOI arXiv
Leung, Tim; Yan, Raphael; Zhou, Yang Optimal dynamic futures portfolio under a multifactor Gaussian framework. (English) Zbl 1471.91574 Int. J. Theor. Appl. Finance 24, No. 5, Article ID 2150028, 27 p. (2021). MSC: 91G20 91G10 93E20 PDFBibTeX XMLCite \textit{T. Leung} et al., Int. J. Theor. Appl. Finance 24, No. 5, Article ID 2150028, 27 p. (2021; Zbl 1471.91574) Full Text: DOI
Wang, Wei; Wang, Dandan; Li, Sanshuo Robust mirror descent SA method solving a class of portfolio problems. (Chinese. English summary) Zbl 1488.91126 J. Liaoning Norm. Univ., Nat. Sci. 44, No. 1, 1-6 (2021). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{W. Wang} et al., J. Liaoning Norm. Univ., Nat. Sci. 44, No. 1, 1--6 (2021; Zbl 1488.91126)
Liu, Jingzhen; Wang, Yike; Zhou, Ming Utility maximization with habit formation of interaction. (English) Zbl 1476.91154 J. Ind. Manag. Optim. 17, No. 3, 1451-1469 (2021). MSC: 91G10 93E03 PDFBibTeX XMLCite \textit{J. Liu} et al., J. Ind. Manag. Optim. 17, No. 3, 1451--1469 (2021; Zbl 1476.91154) Full Text: DOI
Sass, Jörn; Westphal, Dorothee Robust utility maximization in a multivariate financial market with stochastic drift. (English) Zbl 1470.91263 Int. J. Theor. Appl. Finance 24, No. 4, Article ID 2150020, 28 p. (2021). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G15 91G10 93E20 PDFBibTeX XMLCite \textit{J. Sass} and \textit{D. Westphal}, Int. J. Theor. Appl. Finance 24, No. 4, Article ID 2150020, 28 p. (2021; Zbl 1470.91263) Full Text: DOI arXiv
Liang, Qizhu; Xiong, Jie Stochastic maximum principle under probability distortion. (English) Zbl 1468.91141 Appl. Math. Optim. 83, No. 3, 2253-2271 (2021); correction ibid. 84, No. 3, 3571-3572 (2021). MSC: 91G10 91B16 93E20 PDFBibTeX XMLCite \textit{Q. Liang} and \textit{J. Xiong}, Appl. Math. Optim. 83, No. 3, 2253--2271 (2021; Zbl 1468.91141) Full Text: DOI arXiv
Liang, Qizhu; Xiong, Jie Stochastic maximum principle under probability distortion. (English) Zbl 1468.91140 Appl. Math. Optim. 83, No. 3, 2109-2128 (2021); correction ibid. 84, No. 3, 3571-3572 (2021). MSC: 91G10 91B16 93E20 PDFBibTeX XMLCite \textit{Q. Liang} and \textit{J. Xiong}, Appl. Math. Optim. 83, No. 3, 2109--2128 (2021; Zbl 1468.91140) Full Text: DOI arXiv
Sun, Huixia; Ni, Xuanming; Qian, Long; Zhao, Huimin High-frequency portfolio optimization with long-term CVaR constraints. (Chinese. English summary) Zbl 1474.91184 J. Syst. Sci. Math. Sci. 41, No. 2, 344-360 (2021). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{H. Sun} et al., J. Syst. Sci. Math. Sci. 41, No. 2, 344--360 (2021; Zbl 1474.91184)
Birge, John R.; Chavez-Bedoya, L. Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior. (English) Zbl 1466.91280 Quant. Finance 21, No. 2, 199-219 (2021). MSC: 91G10 93E20 62P05 PDFBibTeX XMLCite \textit{J. R. Birge} and \textit{L. Chavez-Bedoya}, Quant. Finance 21, No. 2, 199--219 (2021; Zbl 1466.91280) Full Text: DOI
Xue, Ruo-Bing; Ye, Xiang-Shen; Cao, Xi-Ren Optimization of stock trading with additional information by limit order book. (English) Zbl 1460.91255 Automatica 127, Article ID 109507, 6 p. (2021). MSC: 91G10 93E20 93C65 PDFBibTeX XMLCite \textit{R.-B. Xue} et al., Automatica 127, Article ID 109507, 6 p. (2021; Zbl 1460.91255) Full Text: DOI
Sass, Jörn; Westphal, Dorothee; Wunderlich, Ralf Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift. (English) Zbl 1458.91208 J. Appl. Probab. 58, No. 1, 197-216 (2021). MSC: 91G15 91G10 93E11 93E20 60F25 PDFBibTeX XMLCite \textit{J. Sass} et al., J. Appl. Probab. 58, No. 1, 197--216 (2021; Zbl 1458.91208) Full Text: DOI arXiv
FatehPour, Razieh; Hamidian, Mohsen; Shahverdiani, Shadi; Najafimoghadam, Ali; Hajiha, Zohreh Dynamic optimization of investment portfolio under liquidity with Taylor extension of value function. (English) Zbl 1513.91073 Int. J. Nonlinear Anal. Appl. 11, Spec. Iss., 231-248 (2020). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{R. FatehPour} et al., Int. J. Nonlinear Anal. Appl. 11, 231--248 (2020; Zbl 1513.91073) Full Text: DOI
Meral, Alev Comparison of various risk measures for an optimal portfolio. (English) Zbl 1474.91180 Acta Univ. Apulensis, Math. Inform. 64, 83-115 (2020). MSC: 91G10 93E20 91G70 PDFBibTeX XMLCite \textit{A. Meral}, Acta Univ. Apulensis, Math. Inform. 64, 83--115 (2020; Zbl 1474.91180) Full Text: arXiv
Ignatov, A. N. On the construction of positional control in a multistep portfolio optimization problem with probabilistic criterion. (English. Russian original) Zbl 1457.91342 Autom. Remote Control 81, No. 12, 2181-2193 (2020); translation from Avtom. Telemekh. 2020, No. 12, 50-66 (2020). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{A. N. Ignatov}, Autom. Remote Control 81, No. 12, 2181--2193 (2020; Zbl 1457.91342); translation from Avtom. Telemekh. 2020, No. 12, 50--66 (2020) Full Text: DOI
Lai, Tze L.; Liao, Shih-Wei; Wong, Samuel P. S.; Xu, Huanzhong Statistical models and stochastic optimization in financial technology and investment science. (English) Zbl 1455.91248 Ann. Math. Sci. Appl. 5, No. 2, 317-345 (2020). MSC: 91G15 91G10 62P05 93E20 91-02 PDFBibTeX XMLCite \textit{T. L. Lai} et al., Ann. Math. Sci. Appl. 5, No. 2, 317--345 (2020; Zbl 1455.91248) Full Text: DOI
Zrazhevsky, G. M.; Golodnikov, A. N.; Uryasev, S. P.; Zrazhevsky, A. G. Application of buffered probability of exceedance in reliability optimization problems. (English. Russian original) Zbl 1454.74123 Cybern. Syst. Anal. 56, No. 3, 476-484 (2020); translation from Kibern. Sist. Anal. 2020, No. 3, 152-162 (2020). MSC: 74M05 74H45 74K10 74P10 74S60 93E20 PDFBibTeX XMLCite \textit{G. M. Zrazhevsky} et al., Cybern. Syst. Anal. 56, No. 3, 476--484 (2020; Zbl 1454.74123); translation from Kibern. Sist. Anal. 2020, No. 3, 152--162 (2020) Full Text: DOI
Zhang, Peng; Huang, Meiyu Random fuzzy mixture of equally weighted and minimum-variance portfolios selection problem. (Chinese. English summary) Zbl 1463.91139 Fuzzy Syst. Math. 34, No. 1, 67-79 (2020). MSC: 91G10 91G80 93E20 03E72 PDFBibTeX XMLCite \textit{P. Zhang} and \textit{M. Huang}, Fuzzy Syst. Math. 34, No. 1, 67--79 (2020; Zbl 1463.91139)
Lei, Jinlong; Shanbhag, Uday V.; Pang, Jong-Shi; Sen, Suvrajeet On synchronous, asynchronous, and randomized best-response schemes for stochastic Nash games. (English) Zbl 1437.91047 Math. Oper. Res. 45, No. 1, 157-190 (2020). MSC: 91A15 91A10 91A68 93E20 90C15 91G10 PDFBibTeX XMLCite \textit{J. Lei} et al., Math. Oper. Res. 45, No. 1, 157--190 (2020; Zbl 1437.91047) Full Text: DOI arXiv
Hata, Hiroaki Optimal investment-consumption-insurance with partial information. (English) Zbl 1433.91134 Japan J. Ind. Appl. Math. 37, No. 1, 309-338 (2020). MSC: 91G05 91G10 93E20 60H10 49N30 PDFBibTeX XMLCite \textit{H. Hata}, Japan J. Ind. Appl. Math. 37, No. 1, 309--338 (2020; Zbl 1433.91134) Full Text: DOI
Zhang, Jize; Leung, Tim; Aravkin, Aleksandr Sparse mean-reverting portfolios via penalized likelihood optimization. (English) Zbl 1430.91094 Automatica 111, Article ID 108651, 7 p. (2020). MSC: 91G10 93E20 60J60 PDFBibTeX XMLCite \textit{J. Zhang} et al., Automatica 111, Article ID 108651, 7 p. (2020; Zbl 1430.91094) Full Text: DOI
Trybuła, Jakub; Zawisza, Dariusz Continuous-time portfolio choice under monotone mean-variance preferences – stochastic factor case. (English) Zbl 1437.91412 Math. Oper. Res. 44, No. 3, 966-987 (2019). MSC: 91G10 93E20 91A15 PDFBibTeX XMLCite \textit{J. Trybuła} and \textit{D. Zawisza}, Math. Oper. Res. 44, No. 3, 966--987 (2019; Zbl 1437.91412) Full Text: DOI arXiv
Neufeld, Ariel; Šikić, Mario Nonconcave robust optimization with discrete strategies under Knightian uncertainty. (English) Zbl 1440.91035 Math. Methods Oper. Res. 90, No. 2, 229-253 (2019). Reviewer: Alex V. Kolnogorov (Novgorod) MSC: 91G10 93E20 91B16 PDFBibTeX XMLCite \textit{A. Neufeld} and \textit{M. Šikić}, Math. Methods Oper. Res. 90, No. 2, 229--253 (2019; Zbl 1440.91035) Full Text: DOI arXiv Link
Vallejo-Jimenez, Benjamin; Garcia-Meza, Mario A. Evaluation of portfolio decision improvements by Markov modulated diffusion processes: a Shapley value approach. (English) Zbl 1427.91261 Petrosyan, Leon A. (ed.) et al., Frontiers of dynamic games. Game theory and management, St. Petersburg, 2018. Selected talks presented at the 12th international conference “Game Theory and Management”, GTM2018, St. Petersburg, Russia, June 27–29, 2018. Cham: Birkhäuser. Static Dyn. Game Theory: Found. Appl., 289-302 (2019). MSC: 91G10 91A12 93E20 PDFBibTeX XMLCite \textit{B. Vallejo-Jimenez} and \textit{M. A. Garcia-Meza}, in: Frontiers of dynamic games. Game theory and management, St. Petersburg, 2018. Selected papers based on the presentations at the 12th international conference, GTM2018, St. Petersburg, Russia, June 27--29, 2018. Cham: Birkhäuser. 289--302 (2019; Zbl 1427.91261) Full Text: DOI
Liu, R. H.; Ren, D. Portfolio optimization using regime-switching stochastic interest rate and stochastic volatility models. (English) Zbl 1427.91257 Yin, George (ed.) et al., Modeling, stochastic control, optimization, and applications. Selected papers based on invited talks given at the IMA workshop in modeling, stochastic control, optimization, and related applications, Institute for Mathematics and Its Applications, University of Minnesota, Minneapolis, MN, USA, May 1 – June 30, 2018. Cham: Springer. IMA Vol. Math. Appl. 164, 407-425 (2019). MSC: 91G10 93E20 91G30 91B70 PDFBibTeX XMLCite \textit{R. H. Liu} and \textit{D. Ren}, IMA Vol. Math. Appl. 164, 407--425 (2019; Zbl 1427.91257) Full Text: DOI
Trimborn, Torsten; Pareschi, Lorenzo; Frank, Martin Portfolio optimization and model predictive control: A kinetic approach. (English) Zbl 1426.91257 Discrete Contin. Dyn. Syst., Ser. B 24, No. 11, 6209-6238 (2019). MSC: 91G10 93B45 PDFBibTeX XMLCite \textit{T. Trimborn} et al., Discrete Contin. Dyn. Syst., Ser. B 24, No. 11, 6209--6238 (2019; Zbl 1426.91257) Full Text: DOI arXiv
Zhang, Rongju; Langrené, Nicolas; Tian, Yu; Zhu, Zili; Klebaner, Fima; Hamza, Kais Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach. (English) Zbl 1420.91438 Quant. Finance 19, No. 3, 519-532 (2019). MSC: 91G10 91-04 93E20 91B24 65C05 91G60 90C39 93E24 PDFBibTeX XMLCite \textit{R. Zhang} et al., Quant. Finance 19, No. 3, 519--532 (2019; Zbl 1420.91438) Full Text: DOI arXiv
Costa, Giorgio; Kwon, Roy H. Risk parity portfolio optimization under a Markov regime-switching framework. (English) Zbl 1420.91410 Quant. Finance 19, No. 3, 453-471 (2019). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{G. Costa} and \textit{R. H. Kwon}, Quant. Finance 19, No. 3, 453--471 (2019; Zbl 1420.91410) Full Text: DOI
Goli, Alireza; Zare, Hasan Khademi; Tavakkoli-Moghaddam, Reza; Sadeghieh, Ahmad Application of robust optimization for a product portfolio problem using an invasive weed optimization algorithm. (English) Zbl 1447.91160 Numer. Algebra Control Optim. 9, No. 2, 187-209 (2019). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{A. Goli} et al., Numer. Algebra Control Optim. 9, No. 2, 187--209 (2019; Zbl 1447.91160) Full Text: DOI
Lin, Hongcan; Saunders, David; Weng, Chengguo Portfolio optimization with performance ratios. (English) Zbl 1422.91657 Int. J. Theor. Appl. Finance 22, No. 5, Article ID 1950022, 38 p. (2019). MSC: 91G10 93E20 60G44 PDFBibTeX XMLCite \textit{H. Lin} et al., Int. J. Theor. Appl. Finance 22, No. 5, Article ID 1950022, 38 p. (2019; Zbl 1422.91657) Full Text: DOI
Federico, Salvatore; Rosestolato, Mauro; Tacconi, Elisa Irreversible investment with fixed adjustment costs: a stochastic impulse control approach. (English) Zbl 1422.91649 Math. Financ. Econ. 13, No. 4, 579-616 (2019). MSC: 91G10 93E20 35Q93 35D40 PDFBibTeX XMLCite \textit{S. Federico} et al., Math. Financ. Econ. 13, No. 4, 579--616 (2019; Zbl 1422.91649) Full Text: DOI arXiv
Pang, Tao; Varga, Katherine Portfolio optimization for assets with stochastic yields and stochastic volatility. (English) Zbl 1422.91666 J. Optim. Theory Appl. 182, No. 2, 691-729 (2019). MSC: 91G10 93E20 90C39 PDFBibTeX XMLCite \textit{T. Pang} and \textit{K. Varga}, J. Optim. Theory Appl. 182, No. 2, 691--729 (2019; Zbl 1422.91666) Full Text: DOI
Trimborn, Torsten A macroscopic portfolio model: from rational agents to bounded rationality. (English) Zbl 1420.91436 Math. Financ. Econ. 13, No. 3, 491-518 (2019). MSC: 91G10 91A25 93B40 PDFBibTeX XMLCite \textit{T. Trimborn}, Math. Financ. Econ. 13, No. 3, 491--518 (2019; Zbl 1420.91436) Full Text: DOI arXiv
Korn, Ralf; Leoff, Elisabeth Multi-asset worst-case optimal portfolios. (English) Zbl 1411.91515 Int. J. Theor. Appl. Finance 22, No. 4, Article ID 1950019, 24 p. (2019). MSC: 91G10 93E20 49L20 PDFBibTeX XMLCite \textit{R. Korn} and \textit{E. Leoff}, Int. J. Theor. Appl. Finance 22, No. 4, Article ID 1950019, 24 p. (2019; Zbl 1411.91515) Full Text: DOI
Jia, Longjie; Pistorius, Martijn; Zheng, Harry Dynamic portfolio optimization with looping contagion risk. (English) Zbl 1411.91513 SIAM J. Financ. Math. 10, No. 1, 1-36 (2019). MSC: 91G10 93E20 35Q91 49L25 PDFBibTeX XMLCite \textit{L. Jia} et al., SIAM J. Financ. Math. 10, No. 1, 1--36 (2019; Zbl 1411.91513) Full Text: DOI arXiv
Gupta, Kavita; Deep, Kusum; Nagar, Atulya K. Application of constrained spider monkey optimization to solve portfolio optimization problem. (English) Zbl 1405.91554 Deep, Kusum (ed.) et al., Decision science in action. Theory and applications of modern decision analytic optimisation. Singapore: Springer (ISBN 978-981-13-0859-8/hbk; 978-981-13-0860-4/ebook). Asset Analytics. Performance and Safety Management, 175-191 (2019). MSC: 91G10 91-04 93E20 PDFBibTeX XMLCite \textit{K. Gupta} et al., in: Decision science in action. Theory and applications of modern decision analytic optimisation. Singapore: Springer. 175--191 (2019; Zbl 1405.91554) Full Text: DOI
Yaghobipour, S.; Yarahmadi, M. Optimal control design for a class of quantum stochastic systems with financial applications. (English) Zbl 1514.91108 Physica A 512, 507-522 (2018). MSC: 91B80 81Q93 91G10 93E20 PDFBibTeX XMLCite \textit{S. Yaghobipour} and \textit{M. Yarahmadi}, Physica A 512, 507--522 (2018; Zbl 1514.91108) Full Text: DOI
Li, Yusong; Zheng, Harry Dynamic convex duality in constrained utility maximization. (English) Zbl 1498.91185 Stochastics 90, No. 8, 1145-1169 (2018). MSC: 91B16 60H30 90C26 90C46 93E20 PDFBibTeX XMLCite \textit{Y. Li} and \textit{H. Zheng}, Stochastics 90, No. 8, 1145--1169 (2018; Zbl 1498.91185) Full Text: DOI arXiv
Chang, K.-H.; Young, M. N.; Diaz, J. F. T. Portfolio optimization utilizing the framework of behavioral portfolio theory. (English) Zbl 1480.91264 Int. J. Oper. Res., Taichung 15, No. 1, 1-13 (2018). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{K. H. Chang} et al., Int. J. Oper. Res., Taichung 15, No. 1, 1--13 (2018; Zbl 1480.91264) Full Text: Link
Nystrup, Peter; Madsen, Henrik; Lindström, Erik Dynamic portfolio optimization across hidden market regimes. (English) Zbl 1471.91509 Quant. Finance 18, No. 1, 83-95 (2018). MSC: 91G10 93B45 93E20 PDFBibTeX XMLCite \textit{P. Nystrup} et al., Quant. Finance 18, No. 1, 83--95 (2018; Zbl 1471.91509) Full Text: DOI Link
Kufakunesu, Rodwell On the multi-dimensional portfolio optimization with stochastic volatility. (English) Zbl 1426.91251 Quaest. Math. 41, No. 1, 27-40 (2018). MSC: 91G10 93E20 35Q91 60H30 PDFBibTeX XMLCite \textit{R. Kufakunesu}, Quaest. Math. 41, No. 1, 27--40 (2018; Zbl 1426.91251) Full Text: DOI Link
Ramirez, Hugo Eduardo; Johnson, Paul V.; Duck, Peter; Howell, Sydney The optimal interaction between a hedge fund manager and investor. (English) Zbl 1411.91527 Appl. Math. Finance 25, No. 5-6, 483-510 (2018). MSC: 91G10 93E20 91A05 PDFBibTeX XMLCite \textit{H. E. Ramirez} et al., Appl. Math. Finance 25, No. 5--6, 483--510 (2018; Zbl 1411.91527) Full Text: DOI
Ocejo, Adriana Explicit solutions to utility maximization problems in a regime-switching market model via Laplace transforms. (English) Zbl 1419.91588 Nonlinear Anal., Hybrid Syst. 30, 45-57 (2018). MSC: 91G10 93C30 93E20 49L25 44A10 PDFBibTeX XMLCite \textit{A. Ocejo}, Nonlinear Anal., Hybrid Syst. 30, 45--57 (2018; Zbl 1419.91588) Full Text: DOI arXiv
Kilianová, Soňa; Ševčovič, Daniel Expected utility maximization and conditional value-at-risk deviation-based Sharpe ratio in dynamic stochastic portfolio optimization. (English) Zbl 1463.91128 Kybernetika 54, No. 6, 1167-1183 (2018). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{S. Kilianová} and \textit{D. Ševčovič}, Kybernetika 54, No. 6, 1167--1183 (2018; Zbl 1463.91128) Full Text: DOI arXiv
Baltas, Ioannis; Xepapadeas, Anastasios; Yannacopoulos, Athanasios N. Robust portfolio decisions for financial institutions. (English) Zbl 1406.91399 J. Dyn. Games 5, No. 2, 61-94 (2018). MSC: 91G10 91A15 93E20 PDFBibTeX XMLCite \textit{I. Baltas} et al., J. Dyn. Games 5, No. 2, 61--94 (2018; Zbl 1406.91399) Full Text: DOI
Yamada, Yuji; Primbs, James A. Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints. (English) Zbl 1418.91493 Asia-Pac. Financ. Mark. 25, No. 1, 1-21 (2018). MSC: 91G10 62P05 93B40 PDFBibTeX XMLCite \textit{Y. Yamada} and \textit{J. A. Primbs}, Asia-Pac. Financ. Mark. 25, No. 1, 1--21 (2018; Zbl 1418.91493) Full Text: DOI
Mostovyi, Oleksii Optimal consumption of multiple goods in incomplete markets. (English) Zbl 1417.91472 J. Appl. Probab. 55, No. 3, 810-822 (2018). MSC: 91G10 93E20 60G48 49N15 PDFBibTeX XMLCite \textit{O. Mostovyi}, J. Appl. Probab. 55, No. 3, 810--822 (2018; Zbl 1417.91472) Full Text: DOI arXiv
La Torre, D.; Mendivil, F. Portfolio optimization under partial uncertainty and incomplete information: a probability multimeasure-based approach. (English) Zbl 1416.91355 Ann. Oper. Res. 267, No. 1-2, 267-279 (2018). MSC: 91G10 28B20 93E20 PDFBibTeX XMLCite \textit{D. La Torre} and \textit{F. Mendivil}, Ann. Oper. Res. 267, No. 1--2, 267--279 (2018; Zbl 1416.91355) Full Text: DOI
Ji, Ran; Lejeune, Miguel A. Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints. (English) Zbl 1416.91352 Ann. Oper. Res. 262, No. 2, 547-578 (2018). MSC: 91G10 90C15 90C11 93E20 91B30 PDFBibTeX XMLCite \textit{R. Ji} and \textit{M. A. Lejeune}, Ann. Oper. Res. 262, No. 2, 547--578 (2018; Zbl 1416.91352) Full Text: DOI
Kirilyuk, V. S. Polyhedral coherent risk measures in the case of imprecise scenario estimates. (English. Russian original) Zbl 1401.93195 Cybern. Syst. Anal. 54, No. 3, 423-433 (2018); translation from Kibern. Sist. Anal. 2018, No. 3, 94-105 (2018). MSC: 93E10 90C15 90C05 91G10 PDFBibTeX XMLCite \textit{V. S. Kirilyuk}, Cybern. Syst. Anal. 54, No. 3, 423--433 (2018; Zbl 1401.93195); translation from Kibern. Sist. Anal. 2018, No. 3, 94--105 (2018) Full Text: DOI
Ye, C.; Liu, R. H.; Ren, D. Optimal asset allocation with stochastic interest rates in regime-switching models. (English) Zbl 1396.91708 Int. J. Theor. Appl. Finance 21, No. 5, Article ID 1850032, 32 p. (2018). MSC: 91G10 91G30 93E20 PDFBibTeX XMLCite \textit{C. Ye} et al., Int. J. Theor. Appl. Finance 21, No. 5, Article ID 1850032, 32 p. (2018; Zbl 1396.91708) Full Text: DOI
Kumar, Rohini; Nasralah, Hussein Asymptotic approximation of optimal portfolio for small time horizons. (English) Zbl 1396.91691 SIAM J. Financ. Math. 9, No. 2, 755-774 (2018). MSC: 91G10 93E20 91G80 60G44 49L25 PDFBibTeX XMLCite \textit{R. Kumar} and \textit{H. Nasralah}, SIAM J. Financ. Math. 9, No. 2, 755--774 (2018; Zbl 1396.91691) Full Text: DOI arXiv
Cornuéjols, Gérard; Peña, Javier; Tütüncü, Reha Optimization methods in finance. 2nd edition. (English) Zbl 1400.91001 Cambridge: Cambridge University Press (ISBN 978-1-107-05674-9/hbk; 978-1-107-29734-0/ebook). xii, 337 p. (2018). MSC: 91-01 90-01 90C90 91G10 91G20 91G80 93E99 PDFBibTeX XMLCite \textit{G. Cornuéjols} et al., Optimization methods in finance. 2nd edition. Cambridge: Cambridge University Press (2018; Zbl 1400.91001) Full Text: DOI
Csercsik, Dávid; Kiss, Hubert János Optimal payments to connected depositors in turbulent times: a Markov chain approach. (English) Zbl 1390.93866 Complexity 2018, Article ID 9434608, 14 p. (2018). MSC: 93E20 60J10 91G10 93C10 PDFBibTeX XMLCite \textit{D. Csercsik} and \textit{H. J. Kiss}, Complexity 2018, Article ID 9434608, 14 p. (2018; Zbl 1390.93866) Full Text: DOI
Carr, Peter; Zhu, Qiji Jim Convex duality and financial mathematics. (English) Zbl 1416.91003 SpringerBriefs in Mathematics. Cham: Springer (ISBN 978-3-319-92491-5/pbk; 978-3-319-92492-2/ebook). xiii, 152 p. (2018). Reviewer: Gerhard-Wilhelm Weber (Poznań and Ankara) MSC: 91-02 91G99 91G10 91G80 49N15 90C46 90C25 90C15 93E20 91B06 PDFBibTeX XMLCite \textit{P. Carr} and \textit{Q. J. Zhu}, Convex duality and financial mathematics. Cham: Springer (2018; Zbl 1416.91003) Full Text: DOI
Luchtenburg, Dirk M. Book review of: J. N. Kutz et al., Dynamic mode decomposition. Data-driven modeling of complex systems. (English) Zbl 1393.00022 SIAM Rev. 60, No. 2, 483 (2018). MSC: 00A17 65C20 65K10 65-02 65P99 37M99 37N99 47A70 93B07 93B30 92D30 92C20 91G10 65Z05 65T60 PDFBibTeX XMLCite \textit{D. M. Luchtenburg}, SIAM Rev. 60, No. 2, 483 (2018; Zbl 1393.00022) Full Text: DOI
Das, Milan Kumar; Goswami, Anindya; Rana, Nimit Risk sensitive portfolio optimization in a jump diffusion model with regimes. (English) Zbl 1390.91278 SIAM J. Control Optim. 56, No. 2, 1550-1576 (2018). MSC: 91G10 93E20 60H30 91G60 PDFBibTeX XMLCite \textit{M. K. Das} et al., SIAM J. Control Optim. 56, No. 2, 1550--1576 (2018; Zbl 1390.91278) Full Text: DOI arXiv
Sun, Zhongyang; Guo, Junyi; Zhang, Xin Maximum principle for Markov regime-switching forward-backward stochastic control system with jumps and relation to dynamic programming. (English) Zbl 1408.91243 J. Optim. Theory Appl. 176, No. 2, 319-350 (2018). MSC: 91G80 93E20 90C39 60J28 91G10 60H15 PDFBibTeX XMLCite \textit{Z. Sun} et al., J. Optim. Theory Appl. 176, No. 2, 319--350 (2018; Zbl 1408.91243) Full Text: DOI
Li, Yusong; Zheng, Harry Constrained quadratic risk minimization via forward and backward stochastic differential equations. (English) Zbl 1407.91230 SIAM J. Control Optim. 56, No. 2, 1130-1153 (2018). MSC: 91G10 93E20 91G80 49N05 49N15 60H10 49N10 PDFBibTeX XMLCite \textit{Y. Li} and \textit{H. Zheng}, SIAM J. Control Optim. 56, No. 2, 1130--1153 (2018; Zbl 1407.91230) Full Text: DOI arXiv
Graewe, Paulwin; Horst, Ulrich; Séré, Eric Smooth solutions to portfolio liquidation problems under price-sensitive market impact. (English) Zbl 1380.93287 Stochastic Processes Appl. 128, No. 3, 979-1006 (2018). MSC: 93E20 35Q93 91G80 60H15 PDFBibTeX XMLCite \textit{P. Graewe} et al., Stochastic Processes Appl. 128, No. 3, 979--1006 (2018; Zbl 1380.93287) Full Text: DOI arXiv
Tsai, Wan-Yu; Fahim, Arash A numerical scheme for a singular control problem: investment-consumption under proportional transaction costs. (English) Zbl 1405.91700 J. Comput. Appl. Math. 333, 170-184 (2018). MSC: 91G60 65C05 91G10 60H15 93E20 49L20 PDFBibTeX XMLCite \textit{W.-Y. Tsai} and \textit{A. Fahim}, J. Comput. Appl. Math. 333, 170--184 (2018; Zbl 1405.91700) Full Text: DOI arXiv
Ševčovič, Daniel Nonlinear parabolic equations arising in mathematical finance. (English) Zbl 1420.91521 Ehrhardt, Matthias (ed.) et al., Novel methods in computational finance. Cham: Springer. Math. Ind. 25, 3-15 (2017). MSC: 91G60 65M06 65M08 91G10 91G20 35Q91 93E20 PDFBibTeX XMLCite \textit{D. Ševčovič}, Math. Ind. 25, 3--15 (2017; Zbl 1420.91521) Full Text: DOI arXiv