Continuous-Time Dynamic Portfolio Selection Based on Exponential Utility Maximization in an Incomplete Market

2010 International Conference on Management and Service Science ◽

10.1109/icmss.2010.5577993 ◽

2010 ◽

Author(s):

Hao Chang ◽

Xi-min Rong

Keyword(s):

Portfolio Selection ◽

Continuous Time ◽

Utility Maximization ◽

Incomplete Market ◽

Exponential Utility ◽

Time Dynamic ◽

Dynamic Portfolio

Download Full-text

Continuous-time mean–variance portfolio selection with random horizon in an incomplete market

10.1016/j.automatica.2016.02.017 ◽

2016 ◽

Vol 69 ◽

pp. 176-180 ◽

Author(s):

Siyu Lv ◽

Zhen Wu ◽

Zhiyong Yu

Keyword(s):

Portfolio Selection ◽

Continuous Time ◽

Incomplete Market ◽

Random Horizon ◽

Mean Variance Portfolio ◽

Download Full-text

Dynamic Portfolio Selection and Risk-Return Trade off with Respect to Stock Price Jumps in Continuous Time

SSRN Electronic Journal ◽

10.2139/ssrn.15137 ◽

1997 ◽

Author(s):

Bernhard Nietert

Keyword(s):

Portfolio Selection ◽

Continuous Time ◽

Stock Price ◽

Trade Off ◽

Risk Return ◽

Dynamic Portfolio

Download Full-text

Continuous-Time Mean-Variance Portfolio Selection with Inflation in an Incomplete Market

Journal of Financial Risk Management ◽

10.4236/jfrm.2014.32003 ◽

2014 ◽

Vol 03 (02) ◽

pp. 19-28 ◽

Author(s):

Yingying Xu ◽

Zhuwu Wu

Keyword(s):

Portfolio Selection ◽

Continuous Time ◽

Incomplete Market ◽

Mean Variance Portfolio ◽

Download Full-text

Exponential Utility Maximization in an Incomplete Market with Defaults

Electronic Journal of Probability ◽

10.1214/ejp.v16-918 ◽

2011 ◽

Vol 16 (0) ◽

pp. 1434-1464 ◽

Author(s):

Thomas Lim ◽

Marie-Claire Quenez

Keyword(s):

Utility Maximization ◽

Incomplete Market ◽

Exponential Utility

Download Full-text

Hierarchical Bayesian continuous time dynamic modeling.

Psychological Methods ◽

10.1037/met0000168 ◽

2018 ◽

Vol 23 (4) ◽

pp. 774-799 ◽

Author(s):

Charles C. Driver ◽

Manuel C. Voelkle

Keyword(s):

Dynamic Modeling ◽

Continuous Time ◽

Hierarchical Bayesian ◽

Download Full-text

Synthesis of Continuous-Time Dynamic Quantizers for Quantized Feedback Systems

4th IFAC Conference on Analysis and Design of Hybrid Systems ◽

10.3182/20120606-3-nl-3011.00040 ◽

2012 ◽

Author(s):

Sawada, Kenji

Keyword(s):

Continuous Time ◽

Feedback Systems ◽

Time Dynamic ◽

Quantized Feedback

Download Full-text

Penalty methods for continuous-time portfolio selection with proportional transaction costs

The Journal of Computational Finance ◽

10.21314/jcf.2010.221 ◽

2010 ◽

Vol 13 (3) ◽

pp. 1-31 ◽

Author(s):

Min Dai ◽

Yifei Zhong

Keyword(s):

Transaction Costs ◽

Portfolio Selection ◽

Continuous Time ◽

Penalty Methods ◽

Proportional Transaction Costs

Download Full-text

Generalized Euler Equation Errors for Discrete Time Dynamic Portfolio Choice Models

SSRN Electronic Journal ◽

10.2139/ssrn.3448482 ◽

2019 ◽

Author(s):

Yannick Dillschneider ◽

Raimond Maurer ◽

Peter Schober

Keyword(s):

Euler Equation ◽

Portfolio Choice ◽

Discrete Time ◽

Choice Models ◽

Time Dynamic ◽

Dynamic Portfolio ◽

Dynamic Portfolio Choice

Download Full-text

Continuous-time Dynamic Network Node Classification Algorithm Based on Autoencoder

2020 IEEE 9th Joint International Information Technology and Artificial Intelligence Conference (ITAIC) ◽

10.1109/itaic49862.2020.9339066 ◽

2020 ◽

Author(s):

Xin Huang ◽

Yun Li ◽

JinYu Xiong ◽

Jie Liang ◽

Jie Wu ◽

...

Keyword(s):

Continuous Time ◽

Dynamic Network ◽

Classification Algorithm ◽

Network Node ◽

Time Dynamic ◽

Node Classification

Download Full-text

Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory

Journal of Economic Dynamics and Control ◽

10.1016/j.jedc.2006.06.006 ◽

2007 ◽

Vol 31 (7) ◽

pp. 2168-2195 ◽

Author(s):

Thamayanthi Chellathurai ◽

Thangaraj Draviam

Keyword(s):

Optimal Control ◽

Control Theory ◽

Transaction Costs ◽

Portfolio Selection ◽

Stochastic Optimal Control ◽

Optimal Control Theory ◽

Proportional Transaction Costs ◽

Dynamic Portfolio

Download Full-text