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Illiquidity Effects in Optimal Consumption-Investment Problems
Illiquidity Effects Optimal Consumption-Investment
2010/10/19
We study the effect of liquidity freezes on an economic agent optimizing her utility of consumption in a perturbed Black-Scholes-Merton model. The single risky asset follows a geometric Brownian motio...
Transaction fees and optimal rebalancing in the growth-optimal portfolio
growth-optimal portfolio Kelly game transaction fees
2010/10/21
The growth-optimal portfolio optimization strategy pioneered by Kelly is based on constant portfolio rebalancing which makes it sensitive to transaction fees. We examine the effect of fees on an exam...
Optimal Dividend and reinsurance strategy of a Property Insurance Company under Catastrophe Risk
Optimal dividend reinsurance strategy Optimal
2010/10/21
We consider an optimal control problem of a property insurance company with proportional reinsurance strategy. The insurance business brings in catastrophe risk, such as earthquake and flood. The cata...
Numerical methods for optimal insurance demand under marked point processes shocks
Optimal insurance stochastic control duality dynamic programming principle
2010/10/21
This paper deals with numerical solutions of maximizing expected utility from terminal wealth under a non-bankruptcy constraint. The wealth process is subject to shocks produced by a general marked p...
Optimal Timing to Purchase Options
optimal stopping delayed purchase premium martingale measures
2010/10/21
We study the timing of derivative purchases in incomplete markets. In our model, an investor attempts to maximize the spread between her model price and the offered market price through optimally timi...
Optimal Liquidation Strategies Regularize Portfolio Selection
Optimal Liquidation Strategies Regularize Portfolio Selection
2010/10/19
We consider the problem of portfolio optimization in the presence of market impact, and derive optimal liquidation strategies. We discuss in detail the problem of finding the optimal portfolio under E...
Minimal $f$-divergence martingale measures and optimal portfolios for exponential Levy models with a change-point
f-divergence exponential Levy models
2010/10/19
We consider the exponential Levy models and we study the conditions under which f-minimal equivalent martingale measure preserves Levy property. Then we give a general formula for optimal strategy in...
Optimal closing of a pair trade with a model containing jumps
a pair trade a model containing jumps
2010/10/19
A pair trade is a portfolio consisting of a long position in one asset and a short position in another, and it is a widely applied investment strategy in the financial industry. Recently, Ekstr\"om, ...
Optimal insurance demand under marked point processes shocks: a dynamic programming duality approach
Optimal insurance stochastic control duality optional decomposition
2010/10/21
We study the stochastic control problem of maximizing expected utility from terminal wealth under a non-bankruptcy constraint. The wealth process is subject to shocks produced by a general marked poin...
Optimal control of a big financial company with debt liability under bankrupt probability constraints
Regular-singular stochastic optimal control Stochastic differential
2010/10/21
This paper considers an optimal control of a big financial company with debt liability under bankrupt probability constraints. The company, which faces constant liability payments and has choices to ...
Stochastic Utilities With a Given Optimal Portfolio : Approach by Stochastic Flows
Stochastic Utilities Optimal Portfolio Stochastic Flows
2010/10/20
The paper generalizes the construction by stochastic flows of consistent utilities processes introduced by M. Mrad and N. El Karoui (2010). The market is incomplete and securities are modeled as local...
Optimal Execution Strategy in the Presence of Price Impact
Price impact impulse control singular control
2010/10/21
We study a single risky financial asset model subject to price impact and transaction cost over an infinite horizon. An investor needs to execute a long position in the asset affecting the price of th...
Optimal dividend policy of a large insurance company with positive transaction cost under higher solvency and security
Regular-singular stochastic optimal control Solvency Stochastic
2010/10/20
Based on a point of view that solvency and security are first, this paper considers regular-singular stochastic optimal control problem of a large insurance company facing positive transaction cost a...
Numerical methods for an optimal order execution problem
Optimal liquidation Impulse control problem Quasi-variational inequality
2010/10/20
This paper deals with numerical solutions to an impulse control problem arising from optimal portfolio liquidation with bid-ask spread and market price impact penalizing speedy execution trades. The c...
Optimal leverage from non-ergodicity
Portfolio selection ergodicity leverage log-utility Kelly criterion
2010/10/29
In modern portfolio theory, the balancing of expected returns on investments against uncer-
tainties in those returns is aided by the use of utility functions. The Kelly criterion oers
another appr...