Results 71 to 80 of about 634 (183)
Journal of Applied Sciences and Environmental Management, 2020 One of the major problems faced in the management of pension funds and plan is how to allocate and control the future flow of contribution likewise the proportion of portfolio value and investments in risky assets. In this work, optimal investment for a
T. Latunde +3 more
doaj +1 more source
Portfolio Optimization for Pension Purposes: Literature Review
Journal of Economic Surveys, Volume 40, Issue 1, Page 45-72, February 2026.ABSTRACT This systematic review identifies persistent challenges and gaps in the literature on pension portfolio optimization models. We searched, selected, and critically analyzed 82 articles from three major academic databases published over the past decade to investigate the barriers to the effective implementation of these models.
Leonardo Moreira +2 more
wiley +1 more source
A Semi-Lagrangian Scheme for Hamilton--Jacobi--Bellman Equations on Networks
SIAM Journal on Numerical Analysis, 2020 The authors discuss the numerical solution of a Hamilton-Jacobi-Bellmann (HJB) equation. A semi-Lagrangian scheme is proposed and basic properties of this scheme, as e.g., monotonicity, stability, almost Lipschitz regularity, and consistency are shown. The convergence of the approximate solution to the exact solution of the HJB equation is proved.
Elisabetta Carlini +2 more
openaire +2 more sources
On the Provision of International Public Goods in Dynamic Open Economies
Review of International Economics, Volume 34, Issue 1, Page 198-218, February 2026.ABSTRACT This study develops a dynamic two‐country model with an international public good, the stock of which positively affects the productivity of the private‐goods sectors in each country, and the evolution of the stock is determined by each country's voluntary contribution in the form of public investment. Two scenarios are examined: A cooperative
Akihiko Yanase
wiley +1 more source
Journal of Applied Mathematics, 2013 This paper studies a continuous-time dynamic mean-variance portfolio selection problem with the constraint of a higher borrowing rate, in which stock price is governed by a constant elasticity of variance (CEV) process. Firstly, we apply Lagrange duality
Hao Chang, Xi-min Rong
doaj +1 more source
Portfolio Optimization with Asset-Liability Ratio Regulation Constraints
Complexity, 2020 This paper considers both a top regulation bound and a bottom regulation bound imposed on the asset-liability ratio at the regulatory time T to reduce risks of abnormal high-speed growth of asset price within a short period of time (or high investment ...
De-Lei Sheng, Peilong Shen
doaj +1 more source
Dynamic Multiagent Incentive Contracts: Existence, Uniqueness, and Implementation
Mathematics, 2020 Multiagent incentive contracts are advanced techniques for solving decentralized decision-making problems with asymmetric information. The principal designs contracts aiming to incentivize non-cooperating agents to act in his or her interest.
Qi Luo, Romesh Saigal
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Unified Asymptotics for Investment Under Illiquidity: Transaction Costs and Search Frictions
Mathematical Finance, Volume 36, Issue 1, Page 67-98, January 2026.ABSTRACT This paper investigates the optimal investment problem in a market with two types of illiquidity: transaction costs and search frictions. We analyze a power‐utility maximization problem where an investor encounters proportional transaction costs and trades only when a Poisson process triggers trading opportunities.
Tae Ung Gang, Jin Hyuk Choi
wiley +1 more source
Intraday renewable electricity trading: advanced modeling and numerical optimal control
Journal of Mathematics in Industry, 2020 As an extension of (Progress in industrial mathematics at ECMI 2018, pp. 469–475, 2019), this paper is concerned with a new mathematical model for intraday electricity trading involving both renewable and conventional generation.
Silke Glas +7 more
doaj +1 more source
Transmission conditions on interfaces for Hamilton–Jacobi–Bellman equations
Journal of Differential Equations, 2014 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Rao, Zhiping +2 more
openaire +5 more sources