排序方式: 共有3条查询结果,搜索用时 0 毫秒
1
1.
Alessandra Cretarola Fausto Gozzi Huyên Pham Peter Tankov 《Finance and Stochastics》2011,15(1):85-115
We investigate optimal consumption policies in the liquidity risk model introduced by Pham and Tankov (Math. Finance 18:613–627,
2008). Our main result is to derive smoothness C
1 results for the value functions of the portfolio/consumption choice problem. As an important consequence, we can prove the
existence of the optimal control (portfolio/consumption strategy) which we characterize both in feedback form in terms of
the derivatives of the value functions and as the solution of a second-order ODE. Finally, numerical illustrations of the
behavior of optimal consumption strategies between two trading dates are given. 相似文献
2.
Cretarola Alessandra Figà-Talamanca Gianna Grunspan Cyril 《Decisions in Economics and Finance》2021,44(2):781-787
Decisions in Economics and Finance - The motivation of proposing and editing the Special Issue “Blockchain and cryptocurrencies” came from the inspirational invited and contributed... 相似文献
3.
We study the local risk minimization approach for defaultable markets in a general setting where the asset price dynamics and the default time may influence each other. We find the Föllmer-Schweizer decomposition in this general setting and compute it explicitly in two particular cases, when default time depends on the risky asset's behavior and when only a dependence of discounted asset price on default time is occurring. 相似文献
1