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A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
  • R. Korn, H. Kraft
  • Mathematics, Computer Science
  • SIAM J. Control. Optim.
  • 1 April 2001
TLDR
To solve the corresponding control problems it is necessary to prove a verification theorem without the usual Lipschitz assumptions, which assumes a stochastic interest rate. Expand
On three-phase boundary motion and the singular limit of a vector-valued Ginzburg-Landau equation
We present a formal asymptotic analysis which suggests a model for threephase boundary motion as a singular limit of a vector-valued Ginzburg-Landau equation. We prove short-time existence andExpand
Optimal Portfolios with Bounded Capital at Risk
We consider some continuous-time Markowitz type portfolio problems that consist of maximizing expected terminal wealth under the constraint of an upper bound for the Capital-at-Risk. In aExpand
Portfolio optimisation with strictly positive transaction costs and impulse control
  • R. Korn
  • Economics, Computer Science
  • Finance Stochastics
  • 12 February 1998
TLDR
An impulse control approach where the investor can change his portfolio only finitely often in finite time intervals is presented and a nontrivial asymptotically optimal solution for the problem of exponential utility maximisation is derived. Expand
On the Stability of Continuous-Time Portfolio Problems with Stochastic Opportunity Set
In this paper we present some counterexamples to show that an uncritical application of the usual methods of continuous-time portfolio optimization can be misleading in the case of a stochasticExpand
Some applications of impulse control in mathematical finance
  • R. Korn
  • Computer Science, Mathematics
  • Math. Methods Oper. Res.
  • 14 December 1999
TLDR
Three applications of impulse control in financial mathematics, a cash management problem, optimal control of an exchange rate, and portfolio optimisation under transaction costs are considered, with the help of quasi-variational inequalities. Expand
Option Pricing and Portfolio Optimization: Modern Methods of Financial Mathematics
The mean-variance approach in a one-period model The continuous-time market model Option pricing Pricing of exotic options and numerical algorithms Optimal portfolios Bibliography Index.
Optimal portfolios under the threat of a crash
We consider the determination of optimal portfolios under the threat of a crash. Our main assumption is that upper bounds for both the crash size and the number of crashes occurring before the timeExpand
Optimal Portfolios: Stochastic Models For Optimal Investment And Risk Management In Continuous Time
The focus of the book is the construction of optimal investment strategies in a security market model where the prices follow diffusion processes. It begins by presenting the complete Black-ScholesExpand
An analysis of pricing methods for baskets options
The forward-oriented notation has two advantages: Firstly, in opposite to short rates and dividend yields, forward prices and discount factors are market-quotes. Secondly, from a computational pointExpand
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