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Abel Cadenillas · Study

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Abel Cadenillas

16 works· latest 2014· 2 institutionscluster: provisionalORCID 0000-0002-0344-9191

h-index16

i1016

Citations1,382

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Most cited in this library

Optimal Central Bank Intervention in the Foreign Exchange Market1999 · 167 citations
EXPLICIT SOLUTIONS OF CONSUMPTION‐INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING2009 · 144 citations
CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM2006 · 141 citations
Leverage decision and manager compensation with choice of effort and volatility2004 · 122 citations
Classical and Impulse Stochastic Control of the Exchange Rate Using Interest Rates and Reserves2000 · 107 citations

Works

16 shown

Optimal investment and risk control policies for an insurer: Expected utility maximization

Insurance Mathematics and Economics·2014·2 authors

65citations

Optimal Production Management When Demand Depends on the Business Cycle

Operations Research·2013·3 authors

26citations

Classical and singular stochastic control for the optimal dividend policy when there is regime switching

Insurance Mathematics and Economics·2011·2 authors

58citations

Optimal Control of a Mean-Reverting Inventory

Operations Research·2010·3 authors

64citations

EXPLICIT SOLUTIONS OF CONSUMPTION‐INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING

Mathematical Finance·2009·2 authors

144citations

OPTIMAL DIVIDEND POLICY WITH MEAN‐REVERTING CASH RESERVOIR

Mathematical Finance·2006·3 authors·Open access

84citations

Optimal risk-sharing with effort and project choice

Journal of Economic Theory·2006·3 authors

79citations

CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM

Mathematical Finance·2006·4 authors

141citations

Leverage decision and manager compensation with choice of effort and volatility

Journal of Financial Economics·2004·3 authors

122citations

A stochastic maximum principle for systems with jumps, with applications to finance

Systems & Control Letters·2002·1 author

30citations

Classical and Impulse Stochastic Control of the Exchange Rate Using Interest Rates and Reserves

Mathematical Finance·2000·2 authors·Open access

107citations

Consumption-investment problems with transaction costs: Survey and open problems

Mathematical Methods of Operations Research·2000·1 author

44citations

Optimal Central Bank Intervention in the Foreign Exchange Market

Journal of Economic Theory·1999·2 authors

167citations

Optimal trading of a security when there are taxes and transaction costs

Finance and Stochastics·1999·2 authors·Open access

57citations

The Stochastic Maximum Principle for Linear, Convex Optimal Control with Random Coefficients

SIAM Journal on Control and Optimization·1995·2 authors

101citations

The stochastic maximum principle for a singular control problem

Stochastics and stochastics reports·1994·2 authors

93citations