Optimal risk transfer and investment policies based upon stochastic differential utilities
- Nobuhiro Nakamura
DOIAbstract
Stochastic differential utility, Forward–backward stochastic differential equation, Lattice algorithm, Four-step scheme,
Stochastic differential utility, Forward–backward stochastic differential equation, Lattice algorithm, Four-step scheme,
We consider the process of constructing an optimal hedging portfoliostrategies of an investor. This ...
The thesis examines a generalised problem of optimal control of a firm through reinsurance, dividen...
Summary. We consider the optimal selection of portfolios for utility maximizing investors under join...
This paper proposes a new approach for portfolio allocation. The novel concept of forward dynamic ut...
We discuss a backward stochastic differential equation, (BSDE), approach to a risk-based, optimal in...
We introduce a model to discuss an optimal investment problem of an insurance company using a game t...
Counterparty risk, Contagious loss or gain, Density of default time, Optimal investment, Duality, Dy...
We introduce a model to discuss an optimal investment problem of an insurance company using a game t...
The author proposes a new algorithm using a stochastic flow technique to solve an optimal portfolio ...
optimal dividend, payment strategy, Poisson process, risk process, Wiener Process,
In order to tackle the problem of how investors in financial markets allocate wealth to stochastic i...
Abstract. The author proposes a new algorithm using a stochas-tic flow technique to solve an optimal...
With the gradual development and improvement of the financial market, financial derivatives such as ...
This paper develops an approximate method for solving multiperiod utility maximization investment mo...
ABSTRACT. In this article we obtain the ratio of risk investment and the optimal accumulated level o...
We consider the process of constructing an optimal hedging portfoliostrategies of an investor. This ...
The thesis examines a generalised problem of optimal control of a firm through reinsurance, dividen...
Summary. We consider the optimal selection of portfolios for utility maximizing investors under join...
This paper proposes a new approach for portfolio allocation. The novel concept of forward dynamic ut...
We discuss a backward stochastic differential equation, (BSDE), approach to a risk-based, optimal in...
We introduce a model to discuss an optimal investment problem of an insurance company using a game t...
Counterparty risk, Contagious loss or gain, Density of default time, Optimal investment, Duality, Dy...
We introduce a model to discuss an optimal investment problem of an insurance company using a game t...
The author proposes a new algorithm using a stochastic flow technique to solve an optimal portfolio ...
optimal dividend, payment strategy, Poisson process, risk process, Wiener Process,
In order to tackle the problem of how investors in financial markets allocate wealth to stochastic i...
Abstract. The author proposes a new algorithm using a stochas-tic flow technique to solve an optimal...
With the gradual development and improvement of the financial market, financial derivatives such as ...
This paper develops an approximate method for solving multiperiod utility maximization investment mo...
ABSTRACT. In this article we obtain the ratio of risk investment and the optimal accumulated level o...
We consider the process of constructing an optimal hedging portfoliostrategies of an investor. This ...
The thesis examines a generalised problem of optimal control of a firm through reinsurance, dividen...
Summary. We consider the optimal selection of portfolios for utility maximizing investors under join...
Add to ORKG