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1

A note on Merton's “Optimum Consumption and Portfolio Rules in a continuous-Time Model”

Suresh P Sethi, Michael Taksar

Journal:

Journal of Economic Theory

Year:

1988

Language:

english

File:

PDF, 319 KB

english, 1988

2

A stochastic volatility model and optimal portfolio selection

Zeng, Xudong, Taksar, Michael

Journal:

Quantitative Finance

Year:

2013

Language:

english

File:

PDF, 205 KB

english, 2013

3

Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example

Bjarne Hø Jgaard, Michael Taksar

Journal:

Mathematical Finance

Year:

1999

Language:

english

File:

PDF, 440 KB

english, 1999

4

Dynamic Optimization of Long-Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility

Marianne Akian, Agnès Sulem, Michael I. Taksar

Journal:

Mathematical Finance

Year:

2001

Language:

english

File:

PDF, 321 KB

english, 2001

5

On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang-Bang No-Arbitrage Criteria

Igor V. Evstigneev, Klaus Schürger, Michael I. Taksar

Journal:

Mathematical Finance

Year:

2004

Language:

english

File:

PDF, 194 KB

english, 2004

6

A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees

Michael Taksar, Michael J. Klass and David Assaf

Journal:

Mathematics of Operations Research

Year:

1988

Language:

english

File:

PDF, 769 KB

english, 1988

7

Stochastic equilibria on graphs, II

I.V. Evstigneev, M. Taksar

Journal:

Journal of Mathematical Economics

Year:

1995

Language:

english

File:

PDF, 1.19 MB

english, 1995

8

Stochastic equilibria on graphs, I

I. Evstigneev, M. Taksar

Journal:

Journal of Mathematical Economics

Year:

1994

Language:

english

File:

PDF, 1.73 MB

english, 1994

9

On absolute ruin minimization under a diffusion approximation model

Shangzhen Luo, Michael Taksar

Journal:

Insurance: Mathematics and Economics

Year:

2011

Language:

english

File:

PDF, 500 KB

english, 2011

10

Optimal risk and dividend control for a company with a debt liability

Michael I. Taksar, Xun Yu Zhou

Journal:

Insurance: Mathematics and Economics

Year:

1998

Language:

english

File:

PDF, 897 KB

english, 1998

11

Singular ergodic control for multidimensional Gaussian processes

J. L. Menaldi, M. Robin, M. I. Taksar

Journal:

Mathematics of Control, Signals, and Systems (MCSS)

Year:

1992

Language:

english

File:

PDF, 894 KB

english, 1992

12

Optimal dynamic reinsurance policies for large insurance portfolios

Michael I. Taksar, Charlotte Markussen

Journal:

Finance and Stochastics

Year:

2003

Language:

english

File:

PDF, 285 KB

english, 2003

13

Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation

Søren Asmussen, Bjarne Højgaard, Michael Taksar

Journal:

Finance and Stochastics

Year:

2000

Language:

english

File:

PDF, 301 KB

english, 2000

14

Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von Neumann–Gale Model

M. A. H. Dempster, I. V. Evstigneev, M. I. Taksar

Journal:

Annals of Finance

Year:

2006

Language:

english

File:

PDF, 282 KB

english, 2006

15

Optimal Financing of a Corporation Subject To Random Returns

Suresh P. Sethi, Michael I. Taksar

Journal:

Mathematical Finance

Year:

2002

Language:

english

File:

PDF, 168 KB

english, 2002

16

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

Abel Cadenillas, Tahir Choulli, Michael Taksar, Lei Zhang

Journal:

Mathematical Finance

Year:

2006

Language:

english

File:

PDF, 181 KB

english, 2006

17

Optimal proportional reinsurance policies for diffusion models

Højgaard, B., Taksar, M.

Journal:

Scandinavian Actuarial Journal

Year:

1998

Language:

english

File:

PDF, 553 KB

english, 1998

18

Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy

Højgaard, Bjarne, Taksar, Michael

Journal:

Quantitative Finance

Year:

2004

Language:

english

File:

PDF, 233 KB

english, 2004

19

Robust output feedback control for linear stochastic systems in continuous time with time-varying parameters

Taksar, M.I., Poznyak, A.S., Iparraguirre, A.

Journal:

IEEE Transactions on Automatic Control

Year:

1998

Language:

english

File:

PDF, 179 KB

english, 1998

20

AN APPLICATION OF THE METHOD OF MOMENTS TO RANGE-BASED VOLATILITY ESTIMATION USING DAILY HIGH, LOW, OPENING, AND CLOSING (HLOC) PRICES

BUESCU, CRISTIN, TAKSAR, MICHAEL, KONÉ, FATOUMATA J.

Journal:

International Journal of Theoretical and Applied Finance

Year:

2013

Language:

english

File:

PDF, 580 KB

english, 2013

21

Diffusion Approximation in Arrow’s Model of Exhaustable Resources

Duffie, Darrell, Taksar, Michael

Journal:

Journal of Information and Optimization Sciences

Year:

1986

Language:

english

File:

PDF, 381 KB

english, 1986

22

A Dynamic Stochastic Stock-Cutting Problem

Krichagina, Elena V., Rubio, Rodrigo, Taksar, Michael I., Wein, Lawrence M.

Journal:

Operations Research

Year:

1998

Language:

english

File:

PDF, 185 KB

english, 1998

23

Optimal correction problem of a multidimensional stochastic system

J.L. Menaldi, M.I. Taksar

Journal:

Year:

1989

Language:

english

File:

PDF, 705 KB

english, 1989

24

Explicit solution of a general consumption/portfolio problem with subsistence consumption and bankruptcy

Suresh P. Sethi, Michael I. Taksar, Ernst L. Presman

Journal:

Journal of Economic Dynamics and Control

Year:

1992

Language:

english

File:

PDF, 966 KB

english, 1992

25

Erratum

Suresh P. Sethi, Michael I. Taksar, Ernst L. Presman

Journal:

Journal of Economic Dynamics and Control

Year:

1995

Language:

english

File:

PDF, 72 KB

english, 1995

26

Hierarchical capacity expansion and production planning decisions in stochastic manufacturing systems

S.P. Sethi, M. Taksar, Q. Zhang

Journal:

Journal of Operations Management

Year:

1995

Language:

english

File:

PDF, 1.21 MB

english, 1995

27

Skorohod problems with nonsmooth boundary conditions

Journal:

Journal of Computational and Applied Mathematics

Year:

1992

Language:

english

File:

PDF, 1.70 MB

english, 1992

28

The influence of bankruptcy value on optimal risk control for diffusion models with proportional reinsurance

Michael Taksar, Christine Loft Hunderup

Journal:

Insurance: Mathematics and Economics

Year:

2007

Language:

english

File:

PDF, 312 KB

english, 2007

29

On reinsurance and investment for large insurance portfolios

Shangzhen Luo, Michael Taksar, Allanus Tsoi

Journal:

Insurance: Mathematics and Economics

Year:

2008

Language:

english

File:

PDF, 325 KB

english, 2008

30

Optimal non-proportional reinsurance control

Christian Hipp, Michael Taksar

Journal:

Insurance: Mathematics and Economics

Year:

2010

Language:

english

File:

PDF, 394 KB

english, 2010

31

Dynamic interaction models of economic equilibrium

Igor Evstigneev, Michael Taksar

Journal:

Journal of Economic Dynamics and Control

Year:

2009

Language:

english

File:

PDF, 302 KB

english, 2009

32

Controlled diffusion models for optimal dividend pay-out

Søren Asmussen, Michael Taksar

Journal:

Insurance: Mathematics and Economics

Year:

1997

Language:

english

File:

PDF, 664 KB

english, 1997

33

Optimal proportional reinsurance policies for diffusion models with transaction costs

Bjarne Højgaard, Michael Taksar

Journal:

Insurance: Mathematics and Economics

Year:

1998

Language:

english

File:

PDF, 451 KB

english, 1998

34

Stochastic control for optimal new business

Christian Hipp, Michael Taksar

Journal:

Insurance: Mathematics and Economics

Year:

2000

Language:

english

File:

PDF, 902 KB

english, 2000

35

Producing in a manufacturing system with minimum average cost

S.P. Sethi, W. Suo, M.I. Taksar, Q. Zhang

Journal:

Nonlinear Analysis: Theory, Methods & Applications

Year:

1997

Language:

english

File:

PDF, 374 KB

english, 1997

36

Enhancing of semigroups

Journal:

Probability Theory and Related Fields

Year:

1983

Language:

english

File:

PDF, 766 KB

english, 1983

37

Deterministic equivalent for a continuous-time linear-convex stochastic control problem

S. Sethi, M. I. Taksar

Journal:

Journal of Optimization Theory and Applications

Year:

1990

Language:

english

File:

PDF, 537 KB

english, 1990

38

Infinite-horizon investment consumption model with a nonterminal bankruptcy

S. Sethi, M. Taksar

Journal:

Journal of Optimization Theory and Applications

Year:

1992

Language:

english

File:

PDF, 679 KB

english, 1992

39

Book review

Journal:

Discrete Event Dynamic Systems

Year:

1996

Language:

english

File:

PDF, 271 KB

english, 1996

40

Optimal risk control for a large corporation in the presence of returns on investments

Bjarne Højgaard, Michael Taksar

Journal:

Finance and Stochastics

Year:

2001

Language:

english

File:

PDF, 191 KB

english, 2001

41

Optimal risk and dividend distribution control models for an insurance company

Michael I. Taksar

Journal:

Mathematical Methods of Operations Research

Year:

2000

Language:

english

File:

PDF, 299 KB

english, 2000

42

Convex stochastic optimization for random fields on graphs: A method of constructing Lagrange multipliers

I. V. Evstigneev, M. I. Taksar

Journal:

Mathematical Methods of Operations Research

Year:

2001

Language:

english

File:

PDF, 219 KB

english, 2001

43

Storage model with discontinuous holding cost

Michael I. Taksar

Journal:

Stochastic Processes and their Applications

Year:

1984

Language:

english

File:

PDF, 852 KB

english, 1984

44

Probabilistic approach to computational algorithms for finding stationary distributions of Markov chains

Michael I. Taksar, Winfried K. Grassmann

Journal:

Journal of Computational and Applied Mathematics

Year:

1991

Language:

english

File:

PDF, 378 KB

english, 1991

45

Optimal non-proportional reinsurance control and stochastic differential games

Michael Taksar, Xudong Zeng

Journal:

Insurance: Mathematics and Economics

Year:

2011

Language:

english

File:

PDF, 331 KB

english, 2011

46

Optimal Production Planning in a Multi-Product Stochastic Manufacturing System with Long-Run Average Cost

S.P. Sethi, W. Suo, M.I. Taksar, H. Yan

Journal:

Discrete Event Dynamic Systems

Year:

1998

Language:

english

File:

PDF, 344 KB

english, 1998

47

Dependence of the Optimal Risk Control Decisions on the Terminal Value for a Financial Corporation

Michael I. Taksar

Journal:

Annals of Operations Research

Year:

2000

Language:

english

File:

PDF, 73 KB

english, 2000

48

Optimal Production and Setup Scheduling: A One-Machine, Two-Product System

Jun Yang, Houmina Yan, M.I. Taksar

Journal:

Annals of Operations Research

Year:

2000

Language:

english

File:

PDF, 127 KB

english, 2000

49

Equilibrium States of Random Economies with Locally Interacting Agents and Solutions to Stochastic Variational Inequalities in 〈L1,L∞〉

I.V. Evstigneev, M.I. Taksar

Journal:

Annals of Operations Research

Year:

2002

Language:

english

File:

PDF, 166 KB

english, 2002

50

Inventory Models with Markovian Demands and Cost Functions of Polynomial Growth

D. Beyer, S. P. Sethi, M. Taksar

Journal:

Journal of Optimization Theory and Applications

Year:

1998

Language:

english

File:

PDF, 1.41 MB

english, 1998

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