24 results
An asymptotic approach to centrally planned portfolio selection
- Part of
-
- Journal:
- Advances in Applied Probability , First View
- Published online by Cambridge University Press:
- 08 February 2024, pp. 1-28
-
- Article
- Export citation
Duality theory for exponential utility-based hedging in the Almgren–Chriss model
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 61 / Issue 2 / June 2024
- Published online by Cambridge University Press:
- 03 August 2023, pp. 420-438
- Print publication:
- June 2024
-
- Article
- Export citation
Portfolio management under drawdown constraint in discrete-time financial markets
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 60 / Issue 1 / March 2023
- Published online by Cambridge University Press:
- 09 December 2022, pp. 127-147
- Print publication:
- March 2023
-
- Article
- Export citation
Optimal entry and consumption under habit formation
- Part of
-
- Journal:
- Advances in Applied Probability / Volume 54 / Issue 2 / June 2022
- Published online by Cambridge University Press:
- 10 March 2022, pp. 433-459
- Print publication:
- June 2022
-
- Article
- Export citation
OPTIMAL PORTFOLIO AND CONSUMPTION FOR A MARKOVIAN REGIME-SWITCHING JUMP-DIFFUSION PROCESS
- Part of
-
- Journal:
- The ANZIAM Journal / Volume 63 / Issue 3 / July 2021
- Published online by Cambridge University Press:
- 21 July 2021, pp. 308-332
-
- Article
- Export citation
Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 58 / Issue 1 / March 2021
- Published online by Cambridge University Press:
- 25 February 2021, pp. 197-216
- Print publication:
- March 2021
-
- Article
- Export citation
MEAN–VARIANCE EQUILIBRIUM ASSET-LIABILITY MANAGEMENT STRATEGY WITH COINTEGRATED ASSETS
- Part of
-
- Journal:
- The ANZIAM Journal / Volume 62 / Issue 2 / April 2020
- Published online by Cambridge University Press:
- 06 November 2020, pp. 209-234
-
- Article
- Export citation
A renewal theory approach to two-state switching problems with infinite values
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 57 / Issue 1 / March 2020
- Published online by Cambridge University Press:
- 04 May 2020, pp. 1-18
- Print publication:
- March 2020
-
- Article
- Export citation
A martingale approach for asset allocation with derivative security and hidden economic risk
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 56 / Issue 3 / September 2019
- Published online by Cambridge University Press:
- 01 October 2019, pp. 723-749
- Print publication:
- September 2019
-
- Article
- Export citation
OPTIMAL INVESTMENT AND CONSUMPTION WITH STOCHASTIC FACTOR AND DELAY
- Part of
-
- Journal:
- The ANZIAM Journal / Volume 61 / Issue 1 / January 2019
- Published online by Cambridge University Press:
- 18 February 2019, pp. 99-117
-
- Article
-
- You have access
- Export citation
Optimal consumption of multiple goods in incomplete markets
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 55 / Issue 3 / September 2018
- Published online by Cambridge University Press:
- 16 November 2018, pp. 810-822
- Print publication:
- September 2018
-
- Article
- Export citation
An optimal consumption and investment problem with partial information
- Part of
-
- Journal:
- Advances in Applied Probability / Volume 50 / Issue 1 / March 2018
- Published online by Cambridge University Press:
- 20 March 2018, pp. 131-153
- Print publication:
- March 2018
-
- Article
-
- You have access
- Export citation
Optimal portfolio selection under vanishing fixed transaction costs
- Part of
-
- Journal:
- Advances in Applied Probability / Volume 49 / Issue 4 / December 2017
- Published online by Cambridge University Press:
- 17 November 2017, pp. 1116-1143
- Print publication:
- December 2017
-
- Article
- Export citation
Optimal investment with intermediate consumption under no unbounded profit with bounded risk
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 54 / Issue 3 / September 2017
- Published online by Cambridge University Press:
- 15 September 2017, pp. 710-719
- Print publication:
- September 2017
-
- Article
- Export citation
Risk minimization for game options in markets imposing minimal transaction costs
- Part of
-
- Journal:
- Advances in Applied Probability / Volume 48 / Issue 3 / September 2016
- Published online by Cambridge University Press:
- 19 September 2016, pp. 926-946
- Print publication:
- September 2016
-
- Article
- Export citation
Momentum liquidation under partial information
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 53 / Issue 2 / June 2016
- Published online by Cambridge University Press:
- 21 June 2016, pp. 341-359
- Print publication:
- June 2016
-
- Article
- Export citation
Markov decision process algorithms for wealth allocation problems with defaultable bonds
- Part of
-
- Journal:
- Advances in Applied Probability / Volume 48 / Issue 2 / June 2016
- Published online by Cambridge University Press:
- 10 June 2016, pp. 392-405
- Print publication:
- June 2016
-
- Article
- Export citation
Optimal claims with fixed payoff structure
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 51 / Issue A / December 2014
- Published online by Cambridge University Press:
- 30 March 2016, pp. 175-188
- Print publication:
- December 2014
-
- Article
-
- You have access
- Export citation
OPTIMAL TIME-CONSISTENT PORTFOLIO AND CONTRIBUTION SELECTION FOR DEFINED BENEFIT PENSION SCHEMES UNDER MEAN–VARIANCE CRITERION
- Part of
-
- Journal:
- The ANZIAM Journal / Volume 56 / Issue 1 / July 2014
- Published online by Cambridge University Press:
- 09 October 2014, pp. 66-90
-
- Article
-
- You have access
- Export citation
Optimal Portfolios for Financial Markets with Wishart Volatility
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 50 / Issue 4 / December 2013
- Published online by Cambridge University Press:
- 30 January 2018, pp. 1025-1043
- Print publication:
- December 2013
-
- Article
-
- You have access
- Export citation