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Now showing items 1-10 of 22

#### Optimal multi-period consumption and investment with short-sale constraints

(Elsevier, 2014-03)

This article examines agents’ consumption-investment problem in
a multi-period pure exchange economy where agents are constrained
with the short-sale of state-dependent risky contingent
claims. In equilibrum, agents ...

#### Lower hedging of American contingent claims with minimal surplus risk in finite-state financial markets by mixed-integer linear programming

(2014)

The lower hedging problem with a minimal expected surplus risk criterion in incomplete markets is studied for American claims in finite state financial markets. It is shown that the lower hedging problem with linear expected ...

#### Discrete-time pricing and optimal exercise of American perpetual warrants in the geometric random walk model

(2013)

An American option (or, warrant) is the right, but not the obligation, to purchase or sell an underlying equity at any time up to a predetermined expiration date for a predetermined amount. A perpetual American option ...

#### Mixed-integer second-order cone programming for lower hedging of American contingent claims in incomplete markets

(2013)

We describe a challenging class of large mixed-integer second-order cone programming models which arise in computing the maximum price that a buyer is willing to disburse to acquire an American contingent claim in an ...

#### Sur l’allocation dynamique de portefeuille robuste contre l’incertitude des rendements moyens

(Taylor & Francis, 2014)

In an economy with a negative exponential utility investor facing a set of risky assets with
normally distributed returns over multiple periods, we consider the problem of making an ambiguityrobust dynamic portfolio choice ...

#### Robust screening under ambiguity

(Springer, 2017)

We consider the problem of screening where a seller puts up for sale an indivisible good, and a buyer with a valuation unknown to the seller wishes to acquire the good. We assume that the buyer valuations are represented ...

#### Delegated portfolio management under ambiguity aversion

(2014)

We examine the problem of setting optimal incentives for a portfolio manager hired by an investor who wants to induce ambiguity-robust portfolio choices with respect to estimation errors in expected returns. Adopting a ...

#### Calibrated American option pricing by stochastic linear programming

(Taylor & Francis, 2013-09-09)

We propose an approach for computing the arbitrage-free interval for the price of an American option in discrete incomplete market models via linear programming. The main idea is built replicating strategies that use both ...

#### Special issue on “Non-linear continuous optimization”

(Springer, 2015-02-15)

This special issue contains five papers dedicated to Nonlinear Continuous Optimization. All these contributions went through a strict and detailed refereeing process, and
were revised according to the strict high standards ...

#### Optimal allocation with costly inspection and discrete types under ambiguity

(Taylor & Francis, 2017)

We consider the following problem: a principal has a good to allocate among a collection of agents who attach a private value to receiving the good. The principal, instead of using monetary transfers (i.e. charging the ...