Suchergebnisse - dynamic programming/optimal control secondary: finance: portfolio*

Discrete time optimal investment under model uncertainty

Autoren: Carassus, Laurence Ferhoune, Massinissa Laboratoire de Mathématiques de Reims (LMR) et al.

Weitere Verfasser: Carassus, Laurence Ferhoune, Massinissa Laboratoire de Mathématiques de Reims (LMR) et al.

Quelle: https://hal.science/hal-04844190 ; 2024.

Schlagwörter: optimal investment Knightian uncertainty nondominated model asymptotic elasticity MSC2000 subject classification : Primary: 93E20, 91B28 secondary: 91B16, 28B20 OR/MS subject classification : Primary: utility/preference: theory, dynamic programming/optimal control secondary: finance: portfolio, optimal investment, Knightian uncertainty, nondominated model, asymptotic elasticity MSC2000 subject classification : Primary: 93E20, 91B28, secondary: 91B16, dynamic programming/optimal control, secondary: finance: portfolio, [MATH]Mathematics [math]

Relation: info:eu-repo/semantics/altIdentifier/arxiv/2307.11919; ARXIV: 2307.11919

Verfügbarkeit: https://hal.science/hal-04844190
https://hal.science/hal-04844190v1/document
https://hal.science/hal-04844190v1/file/CarassusFerhouneRUM.pdf

Information Literacy Development Path for Teachers of Finance and Economics in Higher Vocational Colleges and Universities in the Era of Big Data Based on Dynamic Planning.

Autoren: Liu, Xiuchun

Quelle: Journal of Combinatorial Mathematics & Combinatorial Computing; Dec2025, Vol. 127b, p4239-4268, 30p

Schlagwörter: INFORMATION literacy, TEACHERS, EDUCATIONAL quality, BIG data, SCHEDULING, EDUCATION & training services industry, ECONOMICS education

Continuous-Time Portfolio Choice Under Monotone Mean-Variance Preferences—Stochastic Factor Case.

Autoren: Trybuła, Jakub Zawisza, Dariusz

Quelle: Mathematics of Operations Research; Aug2019, Vol. 44 Issue 3, p966-987, 22p

Schlagwörter: CONSUMER preferences, DIFFERENTIAL games, INVESTMENT policy, INCOMPLETE markets, SQUARE root

A Mean Field Game of Optimal Portfolio Liquidation.

Autoren: Fu, Guanxing Graewe, Paulwin Horst, Ulrich et al.

Quelle: Mathematics of Operations Research; Nov2021, Vol. 46 Issue 4, p1250-1281, 32p

Schlagwörter: LIQUIDATION, STOCHASTIC differential equations, CONTINUATION methods, INFORMATION asymmetry

A Stochastic Portfolio Optimization Model with Bounded Memory.

Autoren: Mou-Hsiung Chang Tao Pang Yipeng Yang

Quelle: Mathematics of Operations Research; Nov2011, Vol. 36 Issue 4, p604-619, 16p

Schlagwörter: STOCHASTIC systems, STOCHASTIC control theory, SYSTEM analysis, STOCHASTIC processes, CONTROL theory (Engineering), FINITE differences

Strong and Weak Equilibria for Time-Inconsistent Stochastic Control in Continuous Time.

Autoren: Huang, Yu-Jui Zhou, Zhou

Quelle: Mathematics of Operations Research; May2021, Vol. 46 Issue 2, p428-451, 24p

Schlagwörter: EQUILIBRIUM, THERMODYNAMIC control, MARKOV processes

Optimal Dynamic Risk Taking.

Autoren: Subramanian, Ajay Yang, Baozhong

Quelle: Mathematics of Operations Research; Aug2017, Vol. 42 Issue 3, p599-625, 27p

Schlagwörter: STOCHASTIC control theory, FINANCIAL economics, DIFFUSION processes, MARKET volatility, RISK aversion

MEAN-VARIANCE PORTFOLIO SELECTION WITH RANDOM PARAMETERS IN A COMPLETE MARKET.

Autoren: Lim, Andrew E. B. Zhou, Xun Yu

Quelle: Mathematics of Operations Research; Feb2002, Vol. 27 Issue 1, p101, 20p

Schlagwörter: ANALYSIS of variance, PORTFOLIO management (Investments), STOCHASTIC difference equations, STOCHASTIC differential equations, INVESTMENT policy, FINANCIAL planners, INTEREST rates, FINANCIAL markets

Stochastic Liquidity as a Proxy for Nonlinear Price Impact.

Autoren: Muhle-Karbe, Johannes Wang, Zexin Webster, Kevin

Quelle: Operations Research; Mar/Apr2024, Vol. 72 Issue 2, p444-458, 15p

Schlagwörter: PRICES, LIQUIDITY (Economics), MARKET manipulation, FINANCIAL engineering

Variance Regularization in Sequential Bayesian Optimization.

Autoren: Kim, Michael Jong

Quelle: Mathematics of Operations Research; Aug2020, Vol. 45 Issue 3, p966-992, 27p

Schlagwörter: DYNAMIC programming, VARIANCES, APPROXIMATION error

Time-Consistent Conditional Expectation Under Probability Distortion.

Quelle: Mathematics of Operations Research; Aug2021, Vol. 46 Issue 3, p1149-1180, 32p

Schlagwörter: CONDITIONAL expectations, PARABOLIC differential equations, CONTINUOUS time models, RANDOM variables, PROBABILITY theory

Future Expectations Modeling, Random Coefficient Forward–Backward Stochastic Differential Equations, and Stochastic Viscosity Solutions.

Autoren: Kartala, Xanthi-Isidora Englezos, Nikolaos Yannacopoulos, Athanasios N.

Quelle: Mathematics of Operations Research; May2020, Vol. 45 Issue 2, p403-433, 31p

Schlagwörter: STOCHASTIC differential equations, VISCOSITY solutions, STOCHASTIC partial differential equations, DIFFERENTIAL equations

An Explicit Solution of a Nonlinear-Quadratic Constrained Stochastic Control Problem with Jumps: Optimal Liquidation in Dark Pools with Adverse Selection.

Autoren: Kratz, Peter

Quelle: Mathematics of Operations Research; Nov2014, Vol. 39 Issue 4, p1198-1220, 23p

Schlagwörter: STOCHASTIC control theory, STOCHASTIC processes, DOUBLY stochastic Poisson processes, POISSON processes, COEFFICIENTS (Statistics)

Valuation and Optimal Operation of Electric Power Plants in Competitive Markets.

Autoren: Thompson, Matt Davison, Matt Rasmussen, Henning

Quelle: Operations Research; Jul/Aug2004, Vol. 52 Issue 4, p546-562, 17p, 1 Diagram, 13 Graphs

Schlagwörter: ELECTRIC power plants, INDUSTRIAL engineering, VALUATION, OPERATIONS research, HYDROELECTRIC power plants, HYDROELECTRIC generators, ELECTRIC power production

A Characterization of the Optimal Certainty Equivalent of the Average Cost via the Arrow-Pratt Sensitivity Function.

Autoren: Cavazos-Cadena, Rolando Hernández-Hernández, Daniel

Quelle: Mathematics of Operations Research; Feb2016, Vol. 41 Issue 1, p224-235, 12p

Schlagwörter: MARKOV processes, UTILITY functions, COST functions, OPTIMAL control theory, MATHEMATICAL optimization

Robust Dynamic Programming.

Autoren: Iyengar, Garud N.

Quelle: Mathematics of Operations Research; May2005, Vol. 30 Issue 2, p257-280, 24p, 1 Diagram, 2 Charts

Schlagwörter: DYNAMIC programming, PROBABILITY theory, MATHEMATICAL models, STOCHASTIC processes, ROBUST statistics

Entrepreneurial Decisions on Effort and Project with a Nonconcave Objective Function.

Autoren: Bensoussan, Alain Cadenillas, Abel Hyeng Keun Koo

Quelle: Mathematics of Operations Research; Nov2015, Vol. 40 Issue 4, p902-914, 13p

Schlagwörter: CONCAVE functions, CONCAVE surfaces, STOCHASTIC analysis, MARKOV processes, MATHEMATICAL analysis

A Computational Method for Stochastic Impulse Control Problems.

Autoren: Haolin Feng Muthuraman, Kumar

Quelle: Mathematics of Operations Research; Nov2010, Vol. 35 Issue 4, p830-850, 21p, 1 Diagram, 5 Charts, 4 Graphs

Schlagwörter: STOCHASTIC analysis, COST, HOLDING cost, TRANSACTION cost theory of the firm, CONVEX functions, CASH management

Characterization of the Optimal Risk-Sensitive Average Cost in Denumerable Markov Decision Chains.

Autoren: Cavazos-Cadena, Rolando

Quelle: Mathematics of Operations Research; Aug2018, Vol. 43 Issue 3, p1025-1050, 26p

Schlagwörter: COST effectiveness, MARKOV processes, SENSITIVITY analysis, FINITE fields, UTILITY functions, POLYNOMIALS

Definable Zero-Sum Stochastic Games.

Autoren: Bolte, Jérôme Gaubert, Stéphane Vigeral, Guillaume

Quelle: Mathematics of Operations Research; Feb2015, Vol. 40 Issue 1, p171-191, 21p

Schlagwörter: STOCHASTIC analysis, GAME theory, MATHEMATICAL functions, MATHEMATICAL proofs, MATHEMATICAL bounds