Keywords: سرمایه گذاری بهینه; Probability of ruin; Optimal investment; Optimal reinsurance; Transaction costs; Stochastic control;
مقالات ISI سرمایه گذاری بهینه (ترجمه نشده)
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Keywords: سرمایه گذاری بهینه; Non-extensive statistics; q-Gaussian distribution; Utility function; Optimal investment;
Keywords: سرمایه گذاری بهینه; Energy recovery; Historic steam profiles; Mixed integer linear programming; Net present value; Optimal investment; Power generation;
Keywords: سرمایه گذاری بهینه; Mitigation; Adaptation; Cost-benefit analysis; Optimal investment; Development level;
Keywords: سرمایه گذاری بهینه; Life annuities; Optimal consumption; Optimal investment; Stochastic control; Free-boundary problem;
Keywords: سرمایه گذاری بهینه; Target benefit plan; Intergenerational risk sharing; Hamilton-Jacobi-Bellman equation; Stochastic optimal control; Optimal investment;
Keywords: سرمایه گذاری بهینه; G11; G12; C02; C22; C61; Optimal investment; Net debt ratio; Collateral security; Diffusion and credit risks; Real wealth; Financial crisis;
Keywords: سرمایه گذاری بهینه; Optimal investment; Risk control; Jump-diffusion; HJB PDE;
Keywords: سرمایه گذاری بهینه; Optimal investment; Reinsurance; Markov modulated risk model; HJB equation; Ruin probability;
Keywords: سرمایه گذاری بهینه; Optimal Investment; Potential Utility; Transaction costs; Spectral method;
Keywords: سرمایه گذاری بهینه; Jump-diffusion; Regime-switching; Variance swaps; Optimal investment; G11; D9;
Keywords: سرمایه گذاری بهینه; C61; G02; G11; Poverty; Ruin; Occupation time; Optimal investment; Stochastic control;
Keywords: سرمایه گذاری بهینه; Drawdown; Occupation time; Optimal investment; Stochastic control; Free-boundary problem; C61; G02; G11; 49L20; 60H30; 35Q93;
Keywords: سرمایه گذاری بهینه; Optimal reinsurance; Optimal investment; Default risk; Hamilton-Jacobi-Bellman equation; Heston model;
Keywords: سرمایه گذاری بهینه; Absolute ruin probability; Optimal proportional reinsurance; Optimal investment; Negative correlation; HJB equation; G11; G22; 91B30; 91B70; 91G10; IM13; IB91; IM52; IE53;
Keywords: سرمایه گذاری بهینه; Optimal stopping; Optimal retirement; Optimal investment; Optimal portfolio; Wealth constraint
Keywords: سرمایه گذاری بهینه; Receding horizon control; Stochastic differential equations; Stochastic optimal control; Hamilton–Jacobi–Bellman equations; Lyapunov functions; Itô’s formula; Optimal investment
Keywords: سرمایه گذاری بهینه; Optimal investment; Market crashes; Worst-case scenario; Financial bubbles
Keywords: سرمایه گذاری بهینه; Risk analysis; Optimal investment; Experton; Discrimination measure; Bicriteria discrete optimization problem
Keywords: سرمایه گذاری بهینه; D81; Marginal conditional stochastic dominance; Almost stochastic dominance; Asset allocation; Optimal investment;
Keywords: سرمایه گذاری بهینه; 93E20; 91B30; Markov-modulated compound Poisson process; Proportional reinsurance; Optimal investment;
Keywords: سرمایه گذاری بهینه; Healthcare Information Exchange; Healthcare information technology; Information security; Optimal investment; Scale free network
Keywords: سرمایه گذاری بهینه; G11; Strategic asset allocation; Optimal investment; Jumps; Financial markets; Durable consumption goods; Perishable consumption goods;
Keywords: سرمایه گذاری بهینه; C61; G02; G11; G22; Compound Poisson process; Casualty loss; Consumption; Optimal investment; Stochastic control;
Cox risk model with variable premium rate and stochastic return on investment
Keywords: سرمایه گذاری بهینه; Cox risk model; Optimal investment; Expected discounted penalty function; Variable premium rate
Optimal reinsurance-investment problem for maximizing the product of the insurer's and the reinsurer's utilities under a CEV model
Keywords: سرمایه گذاری بهینه; Proportional reinsurance; Optimal investment; Product of exponential utilities; Constant elasticity of variance (CEV) model; Hamilton-Jacobi-Bellman (HJB) equation;
Optimal investment for an insurer with cointegrated assets: CRRA utility
Keywords: سرمایه گذاری بهینه; Optimal investment; Cointegration; Pairs-trading; Utility theory;
Optimal investment with a corporate bond
Keywords: سرمایه گذاری بهینه; Corporate bond; Reduced-form model; Optimal investment; Martingale methods
Risk-sensitive control for a class of nonlinear systems with multiplicative noise
Keywords: سرمایه گذاری بهینه; Risk-sensitive control; Nonlinear systems; Bond pricing; Optimal investment
Quasilinearization numerical scheme for fully nonlinear parabolic problems with applications in models of mathematical finance
Keywords: سرمایه گذاری بهینه; Convergence; Fully nonlinear parabolic equation; Hamilton–Jacobi–Bellman parabolic partial differential equation; Optimal investment; Pension investment; Quasilinearization method; Rothe’s method; Singular parabolic partial differential equation; Transact
Numerical solution of an optimal investment problem with proportional transaction costs
Keywords: سرمایه گذاری بهینه; Optimal investment; Transaction costs; Double obstacle problems; Numerical methods; Characteristics scheme; Finite elements
Optimal commutable annuities to minimize the probability of lifetime ruin
Keywords: سرمایه گذاری بهینه; Life annuities; Retirement; Optimal investment; Stochastic control; Free-boundary problem;
Maximizing the utility of consumption with commutable life annuities
Keywords: سرمایه گذاری بهینه; Commutable annuities; Utility maximization; Retirement; Optimal investment; Optimal consumption; Stochastic control; Impulse control; Singular control; Free-boundary problem;
A BSDE approach to a risk-based optimal investment of an insurer
Keywords: سرمایه گذاری بهینه; Backward stochastic differential equation; Optimal investment; Insurance company; Convex risk measure; Diffusion approximation; Zero-sum stochastic differential game; Existence and uniqueness of optimal strategies
Minimizing the probability of lifetime ruin under stochastic volatility
Keywords: سرمایه گذاری بهینه; Optimal investment; Minimizing the probability of lifetime ruin; Stochastic volatility;
Illiquidity, position limits, and optimal investment for mutual funds
Keywords: سرمایه گذاری بهینه; D11; D91; G11; C61Illiquidity; Portfolio constraints; Position limits; Transaction costs; Mutual funds; Optimal investment
Optimal investment models with vintage capital: Dynamic programming approach
Keywords: سرمایه گذاری بهینه; C61; C62; E22; 49J20; 49J27; 35B37; Optimal investment; Vintage capital; Age-structured systems; Optimal control; Dynamic programming; Hamilton-Jacobi-Bellman equations; Linear convex control; Boundary control;
Optimal investment and reinsurance of an insurer with model uncertainty
Keywords: سرمایه گذاری بهینه; C73; G11; G22; IM52; IM50; IB90; IB91; IE53; Optimal investment; Proportional reinsurance; Model uncertainty; Stochastic differential game; Exponential utility; Penalty of ruin; HJBI equations;
Minimizing the lifetime shortfall or shortfall at death
Keywords: سرمایه گذاری بهینه; primary; 90A09; secondary; 90A40; Self-annuitization; Optimal investment; Stochastic optimal control; Probability of ruin; Borrowing constraints;
Optimal surrender strategies for equity-indexed annuity investors
Keywords: سرمایه گذاری بهینه; C61; G11; Optimal investment; Optimal stopping; Free boundary problem; Equity-indexed annuity;
The periodic risk model with investment
Keywords: سرمایه گذاری بهینه; Ruin probability; Adjustment coefficient; Optimal investment; Periodic environment;
How should breeders react when aided by helpers?
Keywords: سرمایه گذاری بهینه; azure-winged magpie; cooperative breeding; Cyanopica cyanus; helpers; optimal investment; parental care; provisioning
Some stability results of optimal investment in a simple Lévy market
Keywords: سرمایه گذاری بهینه; G11; IM10; Lévy process; Optimal investment; Martingale method; HARA; Weak convergence;
Distributed generation investment by a microgrid under uncertainty
Keywords: سرمایه گذاری بهینه; Distributed generation; Real options; Optimal investment; Energy markets
Mutual fund theorems when minimizing the probability of lifetime ruin
Keywords: سرمایه گذاری بهینه; G10; G11; C60; C61; Probability of ruin; Mutual fund; Separation theorem; Optimal investment; Hamilton-Jacobi-Bellman equation;
An economic analysis of the optimal information security investment in the case of a risk-averse firm
Keywords: سرمایه گذاری بهینه; Information security; Optimal investment; Expected utility theory;
An algorithm for optimal portfolio selection problem with transaction costs and random lifetimes
Keywords: سرمایه گذاری بهینه; Optimal investment; Optimal consumption; Transaction cost; Random lifetime; Free boundary
Minimizing the probability of lifetime ruin under borrowing constraints
Keywords: سرمایه گذاری بهینه; primary; 93E20; secondary; 49J05; Self-annuitization; Optimal investment; Stochastic optimal control; Probability of ruin; Borrowing constraints; Lending rate; Borrowing rate;
Structural analysis of optimal investment for firms with non-concave revenue
Keywords: سرمایه گذاری بهینه; C61; D92; Optimal investment; Network externalities; Skiba points; Heteroclinic bifurcations;