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Optimal investment problem for an open-end fund with dynamic flows
International Journal of Control
◽
10.1080/00207179.2020.1758960
◽
2020
◽
pp. 1-13
Author(s):
Kai Han
◽
Ximin Rong
◽
Hui Zhao
◽
Suxin Wang
Keyword(s):
Optimal Investment
◽
Investment Problem
◽
Dynamic Flows
◽
Optimal Investment Problem
Download Full-text
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References
The optimal investment problem in stochastic and local volatility models
The Journal of Investment Strategies
◽
10.21314/jois.2018.104
◽
2018
◽
Author(s):
Vladimir V. Piterbarg
Keyword(s):
Optimal Investment
◽
Local Volatility
◽
Investment Problem
◽
Volatility Models
◽
Optimal Investment Problem
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A risk-sensitive stochastic control approach to an optimal investment problem with partial information
Finance and Stochastics
◽
10.1007/s00780-006-0010-8
◽
2006
◽
Vol 10
(3)
◽
pp. 395-426
◽
Cited By ~ 12
Author(s):
Hiroaki Hata
◽
Yasunari Iida
Keyword(s):
Stochastic Control
◽
Partial Information
◽
Optimal Investment
◽
Control Approach
◽
Investment Problem
◽
Risk Sensitive
◽
Optimal Investment Problem
Download Full-text
On a free boundary problem for an optimal investment problem with different interest rates
Communications in Mathematical Sciences
◽
10.4310/cms.2020.v18.n1.a2
◽
2020
◽
Vol 18
(1)
◽
pp. 31-54
Author(s):
Chonghu Guan
Keyword(s):
Free Boundary
◽
Interest Rates
◽
Boundary Problem
◽
Free Boundary Problem
◽
Optimal Investment
◽
Investment Problem
◽
A Free Boundary Problem
◽
Optimal Investment Problem
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One kind of corporate optimal investment problem: Inflation case
Proceedings of the 48h IEEE Conference on Decision and Control (CDC) held jointly with 2009 28th Chinese Control Conference
◽
10.1109/cdc.2009.5400471
◽
2009
◽
Author(s):
Zongyuan Huang
◽
Zhen Wu
Keyword(s):
Optimal Investment
◽
Investment Problem
◽
Optimal Investment Problem
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Existence of solutions for the nonlinear partial differential equation arising in the optimal investment problem
Proceedings of the Japan Academy Series A Mathematical Sciences
◽
10.3792/pjaa.84.11
◽
2008
◽
Vol 84
(1)
◽
pp. 11-14
◽
Cited By ~ 10
Author(s):
Ryo Abe
◽
Naoyuki Ishimura
Keyword(s):
Differential Equation
◽
Partial Differential Equation
◽
Existence Of Solutions
◽
Nonlinear Partial Differential Equation
◽
Optimal Investment
◽
Partial Differential
◽
Investment Problem
◽
Optimal Investment Problem
Download Full-text
Optimal investment problem under behavioral setting: A Lagrange duality perspective
SSRN Electronic Journal
◽
10.2139/ssrn.3801926
◽
2021
◽
Author(s):
Xiuchun Bi
◽
Lvning Yuan
◽
Zhenyu Cui
◽
Jiacheng Fan
◽
Shuguang Zhang
Keyword(s):
Optimal Investment
◽
Lagrange Duality
◽
Investment Problem
◽
Optimal Investment Problem
Download Full-text
An optimal investment problem with randomly terminating income
Proceedings of the 48h IEEE Conference on Decision and Control (CDC) held jointly with 2009 28th Chinese Control Conference
◽
10.1109/cdc.2009.5400455
◽
2009
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Cited By ~ 1
Author(s):
Michel Vellekoop
◽
Mark Dav
Keyword(s):
Optimal Investment
◽
Investment Problem
◽
Optimal Investment Problem
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On a Nonlinear Optimal Investment Problem
Differential Equations
◽
10.1023/b:dieq.0000019352.47870.7f
◽
2003
◽
Vol 39
(11)
◽
pp. 1603-1608
Author(s):
M. S. Nikol'skii
Keyword(s):
Optimal Investment
◽
Investment Problem
◽
Optimal Investment Problem
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Optimal Investment Problem for Life Insurance Company by Considering Health-Level
Modern Economy
◽
10.4236/me.2019.94075
◽
2019
◽
Vol 10
(04)
◽
pp. 1107-1120
Author(s):
Jiachen Chen
◽
Ximin Rong
◽
Hui Zhao
Keyword(s):
Life Insurance
◽
Optimal Investment
◽
Insurance Company
◽
Life Insurance Company
◽
Health Level
◽
Investment Problem
◽
Optimal Investment Problem
Download Full-text
Optimal Investment Problem with Multiple Risky Assets under the Constant Elasticity of Variance (CEV) Model
Modern Economy
◽
10.4236/me.2012.36092
◽
2012
◽
Vol 03
(06)
◽
pp. 718-725
◽
Cited By ~ 4
Author(s):
Hui Zhao
◽
Ximin Rong
◽
Weiqin Ma
◽
Bo Gao
Keyword(s):
Optimal Investment
◽
Cev Model
◽
Constant Elasticity
◽
Risky Assets
◽
Constant Elasticity Of Variance
◽
Investment Problem
◽
Optimal Investment Problem
Download Full-text
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