Add to ORKGSelf-financing optimal investment problem is considered in an incomplete market. The general existence of optimal portfolios is discussed via variational method of stochastic optimal control and the theory of (forward-) backward stochastic differential equations.Optimal portfolio, Stochastic control, Backward stochastic, differential equations
We study optimal stochastic control problems under model uncertainty. We rewrite such problems as (z...
This thesis deals with two optimization problems of rational investors, who want to maximize their e...
textThis thesis analyzes the optimal strategies of rational agents in incomplete financial markets. ...
A self-nancing optimal investment problem is considered in an incomplete market. The general existen...
This dissertation applies stochastic control theory to two problems: i) portfolio choice of hedge fu...
The problem of maximizing the expected utility is well understood in the context of a complete finan...
This paper analyses the portfolio problem of an investor who wants to maximize the expected power ut...
We discuss the portfolio selection problem of an investor/portfolio manager in an arbitrage-free fin...
We consider a general class of optimization problems in financial markets with incomplete informatio...
We give a review of classical and recent results on maximization of expected utility for an investo...
This paper analyses the portfolio problem of an investor maximizing the expected exponential utility...
In the context of Merton’s original problem of optimal consumption and portfolio choice in continuou...
The topic of this thesis is portfolio optimization under model ambiguity, i.e. a situation when the ...
Given a European derivative security with an arbitrary payoff function and a corresponding set of un...
Given a European derivative security with an arbitrary payoff function and a corresponding set of un...
We study optimal stochastic control problems under model uncertainty. We rewrite such problems as (z...
This thesis deals with two optimization problems of rational investors, who want to maximize their e...
textThis thesis analyzes the optimal strategies of rational agents in incomplete financial markets. ...
A self-nancing optimal investment problem is considered in an incomplete market. The general existen...
This dissertation applies stochastic control theory to two problems: i) portfolio choice of hedge fu...
The problem of maximizing the expected utility is well understood in the context of a complete finan...
This paper analyses the portfolio problem of an investor who wants to maximize the expected power ut...
We discuss the portfolio selection problem of an investor/portfolio manager in an arbitrage-free fin...
We consider a general class of optimization problems in financial markets with incomplete informatio...
We give a review of classical and recent results on maximization of expected utility for an investo...
This paper analyses the portfolio problem of an investor maximizing the expected exponential utility...
In the context of Merton’s original problem of optimal consumption and portfolio choice in continuou...
The topic of this thesis is portfolio optimization under model ambiguity, i.e. a situation when the ...
Given a European derivative security with an arbitrary payoff function and a corresponding set of un...
Given a European derivative security with an arbitrary payoff function and a corresponding set of un...
We study optimal stochastic control problems under model uncertainty. We rewrite such problems as (z...
This thesis deals with two optimization problems of rational investors, who want to maximize their e...
textThis thesis analyzes the optimal strategies of rational agents in incomplete financial markets. ...