| 1 |
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 |
| 2 |
OPTIMAL INVESTMENT WITH TRANSACTION COSTS AND STOCHASTIC VOLATILITY PART II: FINITE HORIZON
Bichuch M, Sircar R
SIAM Journal on Control and Optimization, 57(1), 437, 2019 |
| 3 |
ROBUST UTILITY MAXIMIZATION IN DISCRETE-TIME MARKETS WITH FRICTION
Neufeld A, Sikic M
SIAM Journal on Control and Optimization, 56(3), 1912, 2018 |
| 4 |
Optimal Control with State Constraint and Non-concave Dynamics: A Model Arising in Economic Growth
Acquistapace P, Bartaloni F
Applied Mathematics and Optimization, 76(2), 323, 2017 |
| 5 |
OPTIMAL INVESTMENT WITH TRANSACTION COSTS AND STOCHASTIC VOLATILITY PART I: INFINITE HORIZON
Bichuch M, Sircar R
SIAM Journal on Control and Optimization, 55(6), 3799, 2017 |
| 6 |
H-J-B Equations of Optimal Consumption-Investment and Verification Theorems
Nagai H
Applied Mathematics and Optimization, 71(2), 279, 2015 |
| 7 |
Robust Utility Maximization Under Convex Portfolio Constraints
Matoussi A, Mezghani H, Mnif M
Applied Mathematics and Optimization, 71(2), 313, 2015 |
| 8 |
Construction of Discrete Time Shadow Price
Rogala T, Stettner L
Applied Mathematics and Optimization, 72(3), 391, 2015 |
| 9 |
Resource Allocation: Realizing Mean-Variability-Fairness Tradeoffs
Joseph V, de Veciana G, Arapostathis A
IEEE Transactions on Automatic Control, 60(1), 19, 2015 |
| 10 |
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 |
