共查询到8条相似文献,搜索用时 0 毫秒
1.
Marina Di Giacinto Salvatore Federico Fausto Gozzi Elena Vigna 《European Journal of Operational Research》2014
This paper deals with a constrained investment problem for a defined contribution (DC) pension fund where retirees are allowed to defer the purchase of the annuity at some future time after retirement. 相似文献
2.
《Operations Research Letters》2020,48(2):130-135
We consider the utility-based portfolio selection problem in a continuous-time setting. We assume the market price of risk depends on a stochastic factor that satisfies an affine-form, square-root, Markovian model. This financial market framework includes the classical geometric Brownian motion, CEV model, and Heston’s model as special cases. Adopting the BSDE approach, we obtain closed-form solutions for the optimal portfolio strategies and value functions for the logarithmic, power, and exponential utility functions. 相似文献
3.
Federica Masiero 《Applied Mathematics and Optimization》2005,51(2):201-250
Semilinear parabolic differential equations are solved in a mild sense in an
infinite-dimensional Hilbert space. Applications to stochastic optimal control
problems are studied by solving the associated Hamilton–Jacobi–Bellman
equation. These results are applied to some controlled stochastic partial
differential equations. 相似文献
4.
In this paper, we study the optimal excess-of-loss reinsurance and investment problem for an insurer with jump–diffusion risk model. The insurer is allowed to purchase reinsurance and invest in one risk-free asset and one risky asset whose price process satisfies the Heston model. The objective of the insurer is to maximize the expected exponential utility of terminal wealth. By applying stochastic optimal control approach, we obtain the optimal strategy and value function explicitly. In addition, a verification theorem is provided and the properties of the optimal strategy are discussed. Finally, we present a numerical example to illustrate the effects of model parameters on the optimal investment–reinsurance strategy and the optimal value function. 相似文献
5.
Alexander Shapiro 《Operations Research Letters》2011,39(2):83-87
In this paper we consider the adjustable robust approach to multistage optimization, for which we derive dynamic programming equations. We also discuss this from the point of view of risk averse stochastic programming. We consider as an example a robust formulation of the classical inventory model and show that, like for the risk neutral case, a basestock policy is optimal. 相似文献
6.
In this paper, we assume that an investor can invest his/her wealth in a bond and a stock. In our wealth model, the stochastic interest rate is described by a Cox–Ingersoll–Ross (CIR) model, and the volatility of the stock is proportional to another CIR process. We obtain a closed‐form expression of the optimal policy that maximizes a power utility. Moreover, a verification theorem without the usual Lipschitz assumptions is proved, and the relationships between the optimal policy and various parameters are given. Copyright © 2009 John Wiley & Sons, Ltd. 相似文献
7.
Begoña Fernández Daniel Hernández-Hernández Ana Meda Patricia Saavedra 《Mathematical Methods of Operations Research》2008,68(1):159-179
In this paper we study an optimal investment problem of an insurer when the company has the opportunity to invest in a risky
asset using stochastic control techniques. A closed form solution is given when the risk preferences are exponential as well
as an estimate of the ruin probability when the optimal strategy is used.
This work was partially supported by Grants IN103606 PAPIIT-UNAM, 37922E-CONACyT, and 61423-CONACYT Mexico. 相似文献
8.
Rosella CastellanoRoy Cerqueti 《Applied mathematics and computation》2012,218(12):6887-6898
This paper addresses the optimal consumption/investment problem in a mixed discrete/continuous time model in presence of rarely traded stocks. Stochastic control theory with state variable driven by a jump-diffusion, via dynamic programming, is used. The theoretical study is validated through numerical experiments, and the proposed model is compared with the classical Merton’s portfolio. Some financial insights are provided. 相似文献