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» Optimal portfolio choice in the bond market
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AUTOMATICA
2010
87views more  AUTOMATICA 2010»
13 years 9 months ago
Mutual fund competition in the presence of dynamic flows
This paper analyzes competition between mutual funds in a multiple funds version of the model of Hugonnier and Kaniel [17]. We characterize the set of equilibria for this portfoli...
Michèle Breton, Julien Hugonnier, Tarek Mas...
SIAMCO
2011
13 years 5 months ago
Admissible Strategies in Semimartingale Portfolio Selection
The choice of admissible trading strategies in mathematical modelling of financial markets is a delicate issue, going back to Harrison and Kreps [HK79]. In the context of optimal...
Sara Biagini, Ales Cerný
AUTOMATICA
2006
183views more  AUTOMATICA 2006»
13 years 10 months ago
Bank management via stochastic optimal control
This paper examines a problem related to the optimal risk management of banks in a stochastic dynamic setting. In particular, we minimize7 market and capital adequacy risk that in...
Janine Mukuddem-Petersen, Mark Adam Petersen