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Optimal Portfolios: Stochastic Models For Optimal Investment And Risk Management In Continuous Time
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  • 2021Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty85 cited
  • 2013Optimal control of stochastic hybrid system with jumps: A numerical approximation62 cited
  • 2002Utility-Based Derivative Pricing in Incomplete Markets57 cited
  • 2010UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS50 cited
  • 2018Constrained non-concave utility maximization: An application to life insurance contracts with guarantees46 cited
  • 2011Asset allocation for a DC pension fund under regime switching environment44 cited
  • 2004Risk-Sensitive ICAPM With Application to Fixed-Income Management42 cited
  • 2005Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation40 cited
  • 2000Investing for Retirement33 cited
  • 2004Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities33 cited
  • 2009Optimal consumption choice with intolerance for declining standard of living32 cited
  • 2010Optimal portfolios of a small investor in a limit order market: a shadow price approach31 cited
  • 2019On the construction of optimal payoffs26 cited

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