Optimal Dynamic Risk Taking

References

• Bayraktar E, Egami M (2010) On the one-dimensional optimal switching problem. Math. Oper. Res. 35(1):140–159.Link, Google Scholar
• Brekke KA, Øksendal B (1994) Optimal switching in an economic activity under uncertainty. SIAM J. Control Optim. 32(4):1021–1036.Crossref, Google Scholar
• Cadenillas A, Cvitanić J, Zapatero F (2007) Optimal risk-sharing with effort and project choice. J. Econom. Theory 133(1):403–440.Crossref, Google Scholar
• Duckworth K, Zervos M (2001) A model for investment decisions with switching costs. Ann. Appl. Probab. 11(1):239–260.Crossref, Google Scholar
• Duffie D (2001) Dynamic Asset Pricing Theory, 3rd English ed. (Princeton University Press, Princeton, NJ).Google Scholar
• Dybvig P, Liu H (2011) Verification theorems for models of optimal consumption and investment with retirement and constrained borrowing. Math. Oper. Res. 36(4):620–635.Link, Google Scholar
• Fleming WH, Soner HM (2005) Controlled Markov Processes and Viscosity Solutions, 2nd ed. (Springer, New York).Google Scholar
• Gilbarg D, Trudinger N (2001) Elliptic Partial Differential Equations of Second Order (Springer, New York).Crossref, Google Scholar
• Guo X, Tomecek P (2008) Connections between singular control and optimal switching. SIAM J. Control Optim. 47(1):421–443.Crossref, Google Scholar
• Jensen M, Meckling W (1976) Theory of the firm: Managerial behavior, agency costs, and ownership structure. J. Financial Econom. 3(4):305–360.Crossref, Google Scholar
• Karatzas I, Shreve S (1991) Brownian Motion and Stochastic Calculus, 2nd ed. (Springer, New York).Google Scholar
• Karatzas I, Shreve S (1998) Methods of Mathematical Finance (Springer, New York).Crossref, Google Scholar
• Karatzas I, Lehoczky J, Sethi S, Shreve S (1986) Explicit solution of a general consumption-investment problem. Math. Oper. Res. 11(2):261–294.Link, Google Scholar
• Leland HE (1994) Corporate debt value, bond covenants, and optimal capital structure. J. Finance 49(4):1213–1252.Crossref, Google Scholar
• Leland HE (1998) Agency costs, risk management, and capital structure. J. Finance 53(4):1213–1244.Crossref, Google Scholar
• Merton RC (1971) Optimal consumption and portfolio rules in continuous time. J. Econom. Theory 3(4):373–413.Crossref, Google Scholar
• Øksendal B (2003) Stochastic Differential Equtions: An Introduction with Applications, 6th ed. (Springer, Berlin).Crossref, Google Scholar
• Ou-Yang H (2003) Optimal contracts in a continuous-time delegated portfolio management problem. Rev. Financial Stud. 16(1): 173–208.Crossref, Google Scholar
• Peskir G, Shiryaev A (2006) Optimal Stopping and Free-Boundary Problems (Birkhäuser, Basel, Switzerland).Google Scholar
• Pham H (2007) On the smooth-fit property for one-dimensional optimal switching problem. Donati-Martin C, Émery M, Rouault A, Stricker C, eds. Séminaire de Probabilités XL (Springer, Berlin), 187–199.Crossref, Google Scholar
• Pham H, Vath VL (2007) Explicit solution to an optimal switching problem in the two-regime case. SIAM J. Control Optim. 46(2): 395–426.Crossref, Google Scholar
• Pham H, Vath VL, Zhou XY (2009) Optimal switching over multiple regimes. SIAM J. Control Optim. 48(4):2217–2253.Crossref, Google Scholar
• Pliska SR (1986) A stochastic calculus model of continuous trading: Optimal portfolios. Math. Oper. Res. 11(2):370–382.Link, Google Scholar
• Subramanian A, Yang B (2016) Dynamic prudential regulation. Working paper, Georgia State University, Atlanta.Google Scholar