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Optimal Portfolios:Stochastic Models for Optimal Investment and Risk Management in Continuous Time

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  • Ralf Korn

    (Johannes Gutenberg-Universität Mainz)

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Suggested Citation

  • Ralf Korn, 1997. "Optimal Portfolios:Stochastic Models for Optimal Investment and Risk Management in Continuous Time," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 3548, December.
    • Handle: RePEc:wsi:wsbook:3548
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    Citations

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    Cited by:

    1. Huyen Pham, 2014. "Long time asymptotics for optimal investment," Papers 1408.6455, arXiv.org.
    2. Riedel, Frank, 2009. "Optimal consumption choice with intolerance for declining standard of living," Journal of Mathematical Economics, Elsevier, vol. 45(7-8), pages 449-464, July.
    3. Bank, Peter & Riedel, Frank, 1999. "Optimal consumption choice under uncertainty with intertemporal substitution," SFB 373 Discussion Papers 1999,71, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    4. Jan Kallsen & Johannes Muhle-Karbe, 2010. "Utility Maximization In Affine Stochastic Volatility Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 13(03), pages 459-477.
    5. Benjamin Avanzi & Hayden Lau & Mogens Steffensen, 2022. "Optimal reinsurance design under solvency constraints," Papers 2203.16108, arXiv.org, revised Jun 2023.
    6. Mayank Goel & K. Suresh Kumar, 2007. "A Risk-Sensitive Portfolio Optimization Problem with Fixed Incomes Securities," Papers 0711.2718, arXiv.org.
    7. Huyen Pham, 2014. "Long time asymptotics for optimal investment," Working Papers hal-01058657, HAL.
    8. Guo, Fenglong, 2022. "Ruin probability of a continuous-time model with dependence between insurance and financial risks caused by systematic factors," Applied Mathematics and Computation, Elsevier, vol. 413(C).
    9. Cheung, Ka Chun & Yang, Hailiang, 2005. "Optimal stopping behavior of equity-linked investment products with regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 599-614, December.
    10. Jacobovic, Royi & Kella, Offer, 2020. "Minimizing a stochastic convex function subject to stochastic constraints and some applications," Stochastic Processes and their Applications, Elsevier, vol. 130(11), pages 7004-7018.
    11. Andrew E. B. Lim & Xun Yu Zhou, 2002. "Mean-Variance Portfolio Selection with Random Parameters in a Complete Market," Mathematics of Operations Research, INFORMS, vol. 27(1), pages 101-120, February.
    12. M. Goel & K. S. Kumar, 2009. "Risk-Sensitive Portfolio Optimization Problems with Fixed Income Securities," Journal of Optimization Theory and Applications, Springer, vol. 142(1), pages 67-84, July.
    13. L. Rüschendorf & Steven Vanduffel, 2020. "On the construction of optimal payoffs," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(1), pages 129-153, June.
    14. Cheung, Ka Chun & Yang, Hailiang, 2004. "Ordering optimal proportions in the asset allocation problem with dependent default risks," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 595-609, December.
    15. Chen, An & Hieber, Peter & Nguyen, Thai, 2019. "Constrained non-concave utility maximization: An application to life insurance contracts with guarantees," European Journal of Operational Research, Elsevier, vol. 273(3), pages 1119-1135.
    16. Lihua Chen & Ralf Korn, 2019. "Worst-case portfolio optimization in discrete time," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 90(2), pages 197-227, October.
    17. Hambardzumyan, Hayk & Korn, Ralf, 2019. "Dynamic hybrid products with guarantees—An optimal portfolio framework," Insurance: Mathematics and Economics, Elsevier, vol. 84(C), pages 54-66.
    18. Ömür Ugur, 2008. "An Introduction to Computational Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number p556, February.
    19. Marcel Prokopczuk, 2011. "Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 34(2), pages 141-168, November.
    20. T. Duncan & B. Pasik-Duncan & L. Stettner, 2005. "Ergodic and adaptive control of hidden Markov models," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 62(2), pages 297-318, November.
    21. Nicole Bäuerle & Stefanie Grether, 2015. "Complete markets do not allow free cash flow streams," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 81(2), pages 137-146, April.
    22. Jan Kallsen & Johannes Muhle-Karbe, 2009. "Utility maximization in models with conditionally independent increments," Papers 0911.3608, arXiv.org.
    23. Baltas, I. & Dopierala, L. & Kolodziejczyk, K. & Szczepański, M. & Weber, G.-W. & Yannacopoulos, A.N., 2022. "Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty," European Journal of Operational Research, Elsevier, vol. 298(3), pages 1162-1174.
    24. Anne MacKay & Adriana Ocejo, 2022. "Portfolio Optimization With a Guaranteed Minimum Maturity Benefit and Risk-Adjusted Fees," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 1021-1049, June.
    25. M. C. Chiu & D. Li, 2009. "Asset-Liability Management Under the Safety-First Principle," Journal of Optimization Theory and Applications, Springer, vol. 143(3), pages 455-478, December.

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