Results 51 to 60 of about 1,562,881 (169)

Robust Mean–Variance Portfolio Optimization: Mean–Variance–Variance Criterion Versus Mean–Variance–Standard Deviation Criterion

Mathematical Finance, EarlyView.
ABSTRACT We study a dynamic portfolio optimization problem under the mean–variance–variance (M‐V‐V) criterion proposed by Maccheroni et al. It is an analogue of the Arrow–Pratt approximation to the well‐known smooth ambiguity model. Under the standard Black–Scholes framework, we derive fully explicit equilibrium investment strategies in which a DM's ...
David Landriault, Bin Li, Yuanyuan Zhang
wiley   +1 more source

Market Making With Fads, Informed, and Uninformed Traders

Mathematical Finance, EarlyView.
ABSTRACT We characterize the solution to a continuous‐time optimal liquidity provision problem in a market populated by informed and uninformed traders. In our model, the asset price exhibits fads —these are short‐term deviations from the fundamental value of the asset.
Emilio Barucci, Adrien Mathieu, Leandro Sánchez‐Betancourt   +2 more
wiley   +1 more source

Hamilton-Jacobi-Bellman equations for quantum control

, 2008
The aim of this work is to study Hamilton-Jacobi-Bellman equation for quantum control driven by quantum noises. These noises are annhihilation, creation and gauge processes.
PO Olanrewaju, MO Ogundiran, Olanrewaju, PO, Ogundiran, MO   +3 more
core   +1 more source

Optimal Investment Strategies for DC Pension with Stochastic Salary under the Affine Interest Rate Model

Discrete Dynamics in Nature and Society, 2013
We study the optimal investment strategies of DC pension, with the stochastic interest rate (including the CIR model and the Vasicek model) and stochastic salary. In our model, the plan member is allowed to invest in a risk-free asset, a zero-coupon bond,
Chubing Zhang, Ximing Rong
doaj   +1 more source

Application of Asymptotic Analysis of a High-Dimensional HJB Equation to Portfolio Optimization

Journal of Mathematics, 2023
In this paper, we consider a portfolio optimization problem where the wealth consists of investing into a risky asset with a slow mean-reverting volatility and receiving an uncontrollable stochastic cash flow under the exponential utility.
Lei Hu
doaj   +1 more source

Coordinating Bank Dividend and Capital Regulation

Mathematical Finance, EarlyView.
ABSTRACT This paper examines how state‐dependent dividend restrictions (taxes and bans) and capital requirements influence a bank's capital buffer accumulation and risk‐taking decisions. In the model, the bank distributes dividends and issues costly equity to maximise shareholder value, while its loans generate stochastic income under time‐varying ...
Salvatore Federico, Andrea Modena, Luca Regis   +2 more
wiley   +1 more source

Advancements in Quadrotor UAVs: Trajectory Tracking and Energy Optimal Control Using PINN and HJ Formalism for Quadrotor UAV Dynamics

Guidance, Navigation and Control
This paper presents a comprehensive dynamic analysis of Quadrotor unmanned aerial vehicles (UAVs) using the Hamilton–Jacobi (HJ) formalism for energy-efficient trajectory tracking and stabilization of quadrotor UAVs by unifying Hamilton–Jacobi–Bellman ...
Benaly Mohamed, Benaly Ayoub, Abdelkader Mezouari, Abdelkader Hadjoudja, Laamari Hlou, Rachid El Gouri   +5 more
doaj   +1 more source

Random Carbon Tax Policy and Investment Into Emission Abatement Technologies

Mathematical Finance, Volume 36, Issue 4, Page 804-825, October 2026.
ABSTRACT We analyze the problem of a profit‐maximizing electricity producer, subject to carbon taxes, who decides on investments into CO2$\rm CO_2$ abatement technologies. We assume that the carbon tax policy is random and that the investment in the abatement technology is divisible, irreversible, and subject to transaction costs.
Katia Colaneri, Rüdiger Frey, Verena Köck   +2 more
wiley   +1 more source

A Model of Strategic Sustainable Investment

Mathematical Finance, Volume 36, Issue 4, Page 771-803, October 2026.
ABSTRACT We study a problem of optimal irreversible investment and emission reduction formulated as a nonzero‐sum dynamic game between an investor with environmental preferences and a firm. The game is set in continuous‐time on an infinite‐time horizon.
Tiziano De Angelis, Caio César Graciani Rodrigues, Peter Tankov   +2 more
wiley   +1 more source

Dam Management in the Era of Climate Change

Mathematical Finance, Volume 36, Issue 4, Page 870-895, October 2026.
ABSTRACT Climate change has a dramatic impact, particularly by concentrating rainfall into a few short periods, interspersed with long dry spells. In this context, the role of dams is crucial. We consider the optimal control of a dam, where the water level must neither exceed a designated safety threshold nor fall below a minimum level to ensure ...
Cristina Di Girolami, M'hamed Gaïgi, Vathana Ly Vath, Simone Scotti   +3 more
wiley   +1 more source