Near-optimal asset allocation in financial markets with trading constraints

Autor: Antoon Pelsser, Thijs Kamma

Publikováno v: European Journal of Operational Research, 297(2), 766-781. Elsevier

We develop a dual-control method for approximating investment strategies in multidimensional financial markets with convex trading constraints. The method relies on a projection of the optimal solution to an (unconstrained) auxiliary problem to obtai

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6a9c7310e3b087ded917f14d0e8f33c8
https://cris.maastrichtuniversity.nl/en/publications/6717a6fb-d0af-4f3b-85a6-66ac95b3f769

Is there a way to show which identical twin is the father of a child?

Autor: Antoon Pelsser, Gabriel Néve

Publikováno v: New Scientist. Springer Verlag
Maastricht University

If identical twin brothers are each potentially the father of the same child, is there a way to determine, genetically, which is the father?

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::0b6a60b2aeb7afbd26f25e8946cb152c
https://cris.maastrichtuniversity.nl/en/publications/9c6314f0-59d8-4667-81dc-4b9a8eabe3a5

Time-consistent and market-consistent actuarial valuation of the participating pension contract

Autor: Ahmad Salahnejhad Ghalehjooghi, Antoon Pelsser

Publikováno v: Scandinavian Actuarial Journal, 2021(4), 266-294. Routledge/Taylor & Francis Group

The regulator in Europe calls for the market-consistent valuation of the insurance liabilities that usually are not (fully) tradable. An example of such liabilities is the participating pension contract that is generally long-dated and vulnerable to

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cd719d0524901958b9b09989a730f605
https://cris.maastrichtuniversity.nl/en/publications/e5f0d010-e472-4684-ba85-a21b81e57a1e

Pricing and hedging in incomplete markets with model uncertainty

Autor: Antoon Pelsser, Anne G. Balter

Publikováno v: European Journal of Operational Research, 282(3), 911-925. Elsevier
European Journal of Operational Research, 282(3), 911-925. Elsevier Science BV

We search for a trading strategy and the associated robust price of unhedgeable assets in incomplete markets under the acknowledgement of model uncertainty. Our set-up is that we postulate the management of a firm that wants to maximise the expected

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ea4a926e3ed34445ad16fe4cfaf83ab8
https://doi.org/10.1016/j.ejor.2019.09.054

A Monte Carlo method for backward stochastic differential equations with Hermite martingales

Autor: Antoon Pelsser, Kossi Gnameho

Publikováno v: Monte Carlo Methods and Applications, 25(1), 37-60. De Gruyter

Backward stochastic differential equations (BSDEs) appear in many problems in stochastic optimal control theory, mathematical finance, insurance and economics. This work deals with the numerical approximation of the class of Markovian BSDEs where the

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e03c072fab3979845361a5bd428eb87f
https://cris.maastrichtuniversity.nl/en/publications/4cea362a-aff9-4797-803f-04c2b8e6d5d8