:: Library Catalog

Cover Image

Saved in:

Bibliographic Details
Main Author:	Dominguez, Alejandro Rodriguez
Format:	Preprint
Published:	2024
Subjects:	Portfolio Management Mathematical Finance 35A35, 93C20, 91G70, 91G60, 91G10, 91G30, 58J65 G.1.8; G.3; J.4
Online Access:	https://arxiv.org/abs/2401.00949
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Hedging in Jump Diffusion Model with Transaction Costs
by: Almani, Hamidreza Maleki, et al.
Published: (2024)

Stochastic Volatility, Jumps, and Rates: A Unified Framework for Option Pricing and Term-Structure Simulation
by: Putri, Nunik Srikandi, et al.
Published: (2026)

Optimal dividend payout with path-dependent drawdown constraint
by: Guan, Chonghu, et al.
Published: (2023)

Deep Hedging to Manage Tail Risk
by: Ma, Yuming
Published: (2025)

The American put with finite-time maturity and stochastic interest rate
by: Cai, Cheng, et al.
Published: (2021)

Well Posedness of Utility Maximization Problems Under Partial Information in a Market with Gaussian Drift
by: Gabih, Abdelali, et al.
Published: (2022)

Bayesian optimal investment and reinsurance with dependent financial and insurance risks
by: Bäuerle, Nicole, et al.
Published: (2021)

Short-rate models with stochastic discontinuities: a PDE approach
by: Calvia, Alessandro, et al.
Published: (2025)

From Classical Optimization to Bayesian Integration: A Comprehensive Analysis of Systematic Portfolio Management
by: Verma, Ajay Kumar, et al.
Published: (2026)

Rank-Dependent Predictable Forward Performance Processes
by: Angoshtari, Bahman, et al.
Published: (2024)

Power Utility Maximization with Expert Opinions at Fixed Arrival Times in a Market with Hidden Gaussian Drift
by: Gabih, Abdelali, et al.
Published: (2023)

Dividend ratcheting and capital injection under the Cramér-Lundberg model: Strong solution and optimal strategy
by: Guan, Chonghu, et al.
Published: (2026)

Risk-aware Trading Portfolio Optimization
by: Bianchetti, Marco, et al.
Published: (2025)

Portfolio Optimization with Feedback Strategies Based on Artificial Neural Networks
by: Kopeliovich, Yaacov, et al.
Published: (2024)

The PEAL Method: a mathematical framework to streamline securitization structuring
by: Pinto, Andrea, et al.
Published: (2024)

Exploratory Randomization for Discrete-Time Risk-Sensitive Benchmarked Investment Management with Reinforcement Learning
by: Lleo, Sebastien, et al.
Published: (2026)

Criteria for the absence of arbitrage in general diffusion markets
by: Criens, David, et al.
Published: (2023)

Schur Complementary Allocation: A Unification of Hierarchical Risk Parity and Minimum Variance Portfolios
by: Cotton, Peter
Published: (2024)

Portfolio Optimization in a Market with Hidden Gaussian Drift and Randomly Arriving Expert Opinions: Modeling and Theoretical Results
by: Gabih, Abdelali, et al.
Published: (2023)

Optimal hedging of a perpetual American put with a single trade
by: Cai, Cheng, et al.
Published: (2020)

The insider problem in the trinomial model: a discrete-time jump process approach
by: Halconruy, Hélène
Published: (2021)

Representation of forward performance criteria with random endowment via FBSDE and its application to forward optimized certainty equivalent
by: Liang, Gechun, et al.
Published: (2023)

Everything You Always Wanted to Know About XVA Model Risk but Were Afraid to Ask
by: Silotto, Lorenzo, et al.
Published: (2021)

Pricing and calibration in the 4-factor path-dependent volatility model
by: Gazzani, Guido, et al.
Published: (2024)

Credit Spreads' Term Structure: Stochastic Modeling with CIR++ Intensity
by: Alaya, Mohamed Ben, et al.
Published: (2024)

Nonconcave Portfolio Choice under Smooth Ambiguity
by: Borgonovo, Emanuele, et al.
Published: (2026)

Black-Scholes Model, comparison between Analytical Solution and Numerical Analysis
by: Romaggi, Francesco
Published: (2025)

Robo-Advising in Motion: A Model Predictive Control Approach
by: Bielecki, Tomasz R., et al.
Published: (2026)

Robust Utility Optimization via a GAN Approach
by: Krach, Florian, et al.
Published: (2024)

Separating Times for One-Dimensional General Diffusions
by: Criens, David, et al.
Published: (2022)

Pricing and hedging for a sticky diffusion
by: Anagnostakis, Alexis
Published: (2023)

Multi-Layer Deep xVA: Structural Credit Models, Measure Changes and Convergence Analysis
by: Andersson, Kristoffer, et al.
Published: (2025)

Optimal annuitization with labor income under age-dependent force of mortality
by: Birungi, Criscent, et al.
Published: (2025)

Financial Stochastic Models Diffusion: From Risk-Neutral to Real-World Measure
by: Alaya, Mohamed Ben, et al.
Published: (2024)

The Blockchain Risk Parity Line: Moving From The Efficient Frontier To The Final Frontier Of Investments
by: Kashyap, Ravi
Published: (2024)

A functional variational approach to pricing path dependent insurance policies
by: Baños, David R., et al.
Published: (2024)

Quantifying A Firm's AI Engagement: Constructing Objective, Data-Driven, AI Stock Indices Using 10-K Filings
by: Ante, Lennart, et al.
Published: (2025)

Striking the Balance: Life Insurance Timing and Asset Allocation in Financial Planning
by: Chen, An, et al.
Published: (2023)

Risk-Sensitive Investment Management via Free Energy-Entropy Duality
by: Lleo, Sebastien, et al.
Published: (2026)

Sharp Large Deviations and Gibbs Conditioning for Threshold Models in Portfolio Credit Risk
by: Deng, Fengnan, et al.
Published: (2025)