Convergence of optimal strategies in a discrete time market with finite horizon

Rafał Kucharski

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Displaying similar documents to “Convergence of optimal strategies in a discrete time market with finite horizon”

Convergence of optimal strategies under proportional transaction costs

Rafał Kucharski (2008)

Banach Center Publications

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A discrete-time financial market model with finite time horizon and transaction costs is considered, with a sequence of investors whose preferences are described by a convergent sequence of strictly increasing and strictly concave utility functions. Proportional costs are approximated by strictly convex costs. Existence of the optimal consumption-investment strategies is obtained, as well as convergence of the value functions and convergence of subsequences of optimal strategies. ...

Optimal trading strategies with transaction costs paid only for the first stock

Petr Dostál (2006)

Acta Universitatis Carolinae. Mathematica et Physica

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An application of dynamic programming principle in corporate international optimal investment and consumption choice problem.

Huang, Zongyuan, Wu, Zhen (2010)

Mathematical Problems in Engineering

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Optimal investment under behavioural criteria - a dual approach

Miklós Rásonyi, José G. Rodríguez-Villarreal (2015)

Banach Center Publications

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We consider a discrete-time, generically incomplete market model and a behavioural investor with power-like utility and distortion functions. The existence of optimal strategies in this setting has been shown in Carassus-Rásonyi (2015) under certain conditions on the parameters of these power functions. In the present paper we prove the existence of optimal strategies under a different set of conditions on the parameters, identical to the ones in Rásonyi-Rodrigues...

Discrete time optimal dividend problem with constant premium and exponentially distributed claims

Dariusz Socha (2014)

Applicationes Mathematicae

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An optimal dividend problem is studied consisting in maximisation of expected discounted dividend payments until ruin time. A solution of this problem for constant premium d and exponentially distributed claims is presented. It is shown that an optimal policy is a barrier policy. Moreover, an analytic way to solve this problem is sketched.

Discrete time risk sensitive portfolio optimization with consumption and proportional transaction costs

Łukasz Stettner (2005)

Applicationes Mathematicae

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Risk sensitive and risk neutral long run portfolio problems with consumption and proportional transaction costs are studied. Existence of solutions to suitable Bellman equations is shown. The asymptotics of the risk sensitive cost when the risk factor converges to 0 is then considered. It turns out that optimal strategies are stationary functions of the portfolio (portions of the wealth invested in assets) and of economic factors. Furthermore an optimal portfolio strategy for a risk...

Optimal streams of premiums in multiperiod credibility models

L. Gajek, P. Miś, J. Słowińska (2007)

Applicationes Mathematicae

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Optimal arrangement of a stream of insurance premiums for a multiperiod insurance policy is considered. In order to satisfy solvency requirements we assume that a weak Axiom of Solvency is satisfied. Then two optimization problems are solved: finding a stream of net premiums that approximates optimally 1) future claims, or 2) "anticipating premiums". It is shown that the resulting optimal streams of premiums enable differentiating between policyholders much more quickly than one-period...

Optimal control of production inventory systems with deteriorating items and dynamic costs.

Benhadid, Yacine, Tadj, Lotfi, Bounkhel, Messaoud (2008)

Applied Mathematics E-Notes [electronic only]

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Analysis of an Integrated Production-Sales Problem for One-Machine, Two-Product System

Miao-Sheng Chen, Mei-Chen Chu (2000)

The Yugoslav Journal of Operations Research

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On optimal credibility premiums in multiperiod insurance

W. Antoniak, M. Kałuszka (2014)

Applicationes Mathematicae

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This paper focuses on the problem of optimal arrangement of a stream of premiums in a multiperiod credibility model. On the basis of a given claim history (screening) and some individual information unknown to the insurance company (signaling), we derive the optimal streams in the case when the coverage period is not necessarily fixed, e.g., because of lapses, renewals, deaths, total losses, etc.

Inventory Models With Stock- and Price- Dependent Demand for Deteriorating Items Based on Limited Shelf Space

Chun-Tao Chang, Yi-Ju Chen, Tzong-Ru Tsai, Shuo-Jye Wu (2010)

The Yugoslav Journal of Operations Research

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Existence of optimal solutions in general discrete systems

Jaroslav Doležal (1975)

Kybernetika

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On the optimal reinsurance problem

Swen Kiesel, Ludger Rüschendorf (2013)

Applicationes Mathematicae

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In this paper we consider the optimal reinsurance problem in endogenous form with respect to general convex risk measures ϱ and pricing rules π. By means of a subdifferential formula for compositions in Banach spaces we first characterize optimal reinsurance contracts in the case of one insurance taker and one insurer. In the second step we generalize the characterization to the case of several insurance takers. As a consequence we obtain a result saying that cooperation brings less...