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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

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

8

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

9

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

10

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

11

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

12

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

13

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

14

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

15

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

16

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

17

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

18

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

19

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

20

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

21

Optimal non-proportional reinsurance control

Christian Hipp, Michael Taksar

Journal:

Insurance: Mathematics and Economics

Year:

2010

Language:

english

File:

PDF, 394 KB

english, 2010

22

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

23

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

24

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

25

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

26

Book review

Journal:

Discrete Event Dynamic Systems

Year:

1996

Language:

english

File:

PDF, 271 KB

english, 1996

27

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

28

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

29

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

30

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

31

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

32

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

33

CAPACITY AND PRODUCTION DECISIONS IN STOCHASTIC MANUFACTURING SYSTEMS: AN ASYMPTOTIC OPTIMAL HIERARCHICAL APPROACH

SURESH P. SETHI, MICHAEL I. TAKSAR, QING ZHANG

Journal:

Production and Operations Management

Year:

1992

Language:

english

File:

PDF, 459 KB

english, 1992

34

A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control

Choulli, Tahir, Taksar, Michael, Zhou, Xun Yu

Journal:

SIAM Journal on Control and Optimization

Year:

2003

Language:

english

File:

PDF, 338 KB

english, 2003

35

Minimal cost of a Brownian risk without ruin

Shangzhen Luo, Michael Taksar

Journal:

Insurance: Mathematics and Economics

Year:

2012

Language:

english

File:

PDF, 384 KB

english, 2012

36

Dynkin Games via Dirichlet Forms and Singular Control of One-Dimensional Diffusions

Fukushima, Masatoshi, Taksar, Michael

Journal:

SIAM Journal on Control and Optimization

Year:

2002

Language:

english

File:

PDF, 213 KB

english, 2002

37

On Maximizing CRRA Utility in Regime Switching Markets with Random Endowment

Taksar, Michael, Zeng, Xudong

Journal:

SIAM Journal on Control and Optimization

Year:

2010

Language:

english

File:

PDF, 265 KB

english, 2010

38

Regenerative Analysis and Steady State Distributions for Markov Chains

Winfried K. Grassmann, Michael I. Taksar and Daniel P. Heyman

Journal:

Operations Research

Year:

1985

Language:

english

File:

PDF, 296 KB

english, 1985

39

Stochastic Dynamic Programming and the Control of Queueing Systemsby Linn I. Sennott

Review by: Michael Taksar

Journal:

Journal of the American Statistical Association

Year:

2000

Language:

english

File:

PDF, 481 KB

english, 2000

40

Production Control in a Failure-Prone Manufacturing System: Diffusion Approximation and Asymptotic Optimality

Krichagina, Elena V., Lou, Sheldon X. C., Sethi, Suresh P., Taksar, Michael I.

Journal:

The Annals of Applied Probability

Year:

1993

File:

PDF, 2.39 MB

1993

41

[IEEE 2008 47th IEEE Conference on Decision and Control - Cancun, Mexico (2008.12.9-2008.12.11)] 2008 47th IEEE Conference on Decision and Control - Optimal terminal wealth under partial information: Both the drift and the volatility driven by a discrete time Markov chain

Taksar, Michael, Zeng, Xudong

Year:

2008

Language:

english

File:

PDF, 203 KB

english, 2008

42

Rapid paths in von Neumann–Gale dynamical systems

Bahsoun, Wael, Evstigneev, Igor V., Taksar, Michael I.

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

2008

Language:

english

File:

PDF, 186 KB

english, 2008

43

[IEEE 1986 25th IEEE Conference on Decision and Control - Athens, Greece (1986.12.10-1986.12.12)] 1986 25th IEEE Conference on Decision and Control - Optimal consumption and investment policies with bankruptcy modelled by a diffusion with delayed reflection

Sethi, Suresh, Taksar, Michael

Year:

1986

Language:

english

File:

PDF, 234 KB

english, 1986

44

Infinite-Dimensional Linear Programming Approach to SingularStochastic Control

Taksar, Michael I.

Journal:

SIAM Journal on Control and Optimization

Year:

1997

Language:

english

File:

PDF, 385 KB

english, 1997

45

Optimal Terminal Wealth Under Partial Information: Both the Drift and the Volatility Driven by a Discrete-Time Markov Chain

Taksar, Michael, Zeng, Xudong

Journal:

SIAM Journal on Control and Optimization

Year:

2007

Language:

english

File:

PDF, 259 KB

english, 2007

46

[IEEE 1986 25th IEEE Conference on Decision and Control - Athens, Greece (1986.12.10-1986.12.12)] 1986 25th IEEE Conference on Decision and Control - Free boundary control of Brownian motion and a related optimal stopping problem

Taksar, Michael

Year:

1986

Language:

english

File:

PDF, 128 KB

english, 1986

47

Portfolio size as function of the premium: modelling and optimization

Asmussen, Søren, Christensen, Bent Jesper, Taksar, Michael

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

2013

Language:

english

File:

PDF, 173 KB

english, 2013

48

Optimal constrained investment in the Cramer-Lundberg model

Belkina, Tatiana, Hipp, Christian, Luo, Shangzhen, Taksar, Michael

Journal:

Scandinavian Actuarial Journal

Year:

2014

Language:

english

File:

PDF, 329 KB

english, 2014

49

[IEEE Proceedings of the 45th IEEE Conference on Decision and Control - San Diego, CA, USA (2006.12.13-2006.12.15)] Proceedings of the 45th IEEE Conference on Decision and Control - Ruin Probability Minimization and Dividend Distribution Optimization in Diffusion Models

Taksar, Michael

Year:

2006

Language:

english

File:

PDF, 139 KB

english, 2006

50

Optimal Price and Income Regulation under Uncertainty in the Model with one Producer

Taksar, Michael I

Journal:

Journal of Information and Optimization Sciences

Year:

1986

Language:

english

File:

PDF, 298 KB

english, 1986

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