| 1 |
On the Minimizers of Energy Forms with Completely Monotone Kernel
Schied A, Strehle E
Applied Mathematics and Optimization, 83(1), 177, 2021 |
| 2 |
OPTIMAL PORTFOLIO CHOICE WITH PATH DEPENDENT LABOR INCOME: THE INFINITE HORIZON CASE
Biffis E, Gozzi F, Prosdocimi C
SIAM Journal on Control and Optimization, 58(4), 1906, 2020 |
| 3 |
NONCONCAVE OPTIMAL INVESTMENT WITH VALUE-AT-RISK CONSTRAINT: AN APPLICATION TO LIFE INSURANCE CONTRACTS
Nguyen T, Stadje M
SIAM Journal on Control and Optimization, 58(2), 895, 2020 |
| 4 |
ADAPTIVE ROBUST CONTROL UNDER MODEL UNCERTAINTY
Bielecki TR, Chen T, Cialenco I, Cousin A, Jeanblanc M
SIAM Journal on Control and Optimization, 57(2), 925, 2019 |
| 5 |
Optimal portfolios with maximum Value-at-Risk constraint under a hidden Markovian regime-switching model
Zhu DM, Xie Y, Ching WK, Siu TK
Automatica, 74, 194, 2016 |
| 6 |
UTILITY MAXIMIZATION IN A REGIME SWITCHING MODEL WITH CONVEX PORTFOLIO CONSTRAINTS AND MARGIN REQUIREMENTS: OPTIMALITY RELATIONS AND EXPLICIT SOLUTIONS
Heunis AJ
SIAM Journal on Control and Optimization, 53(4), 2608, 2015 |
| 7 |
Optimal Portfolio Selection Under Concave Price Impact
Ma J, Song QS, Xu J, Zhang JF
Applied Mathematics and Optimization, 67(3), 353, 2013 |
| 8 |
MULTIVARIATE UTILITY MAXIMIZATION WITH PROPORTIONAL TRANSACTION COSTS AND RANDOM ENDOWMENT
Benedetti G, Campi L
SIAM Journal on Control and Optimization, 50(3), 1283, 2012 |
| 9 |
Optimal portfolios with regime switching and value-at-risk constraint
Yiu KFC, Liu JZ, Siu TK, Ching WK
Automatica, 46(6), 979, 2010 |
| 10 |
Portfolio optimization with stochastic volatilities and constraints: An application in high dimension
Mnif M
Applied Mathematics and Optimization, 56(2), 243, 2007 |
