Korn R.

R. Korn

Information about the author R. Korn will soon be added to the site.
Found 10 papers in total
A stochastic control approach to portfolio problems with stochastic interest rates
A stochastic control approach to portfolio problems with stochastic interest rates
2001
We consider investment problems where an investor can invest in a savings account,...
Optimal impulse control when control actions have random consequences
Optimal impulse control when control actions have random consequences
1997
We consider a generalised impulse control model for controlling a process governed by...
Optimal control of option portfolios and applications
Optimal control of option portfolios and applications
1999
We present an expected utility maximisation framework for optimally controlling a...
Pricing of European options when the underlying stock price follows a linear birth–death process
Pricing of European options when the underlying stock price follows a linear birth–death process
1998
This investigation considers a possible approach to price options if the underlying...
Some applications of impulse control in mathematical finance
Some applications of impulse control in mathematical finance
1999
We consider three applications of impulse control in financial mathematics, a cash...
On value preserving and growth optimal portfolios
On value preserving and growth optimal portfolios
1999
In a discrete-time financial market setting, the paper relates various concepts...
Value preserving portfolio strategies and the minimal martingale measure
Value preserving portfolio strategies and the minimal martingale measure
1998
We consider some relations between the minimal martingale measure and the value...
Value preserving portfolio strategies in continuous-time models
Value preserving portfolio strategies in continuous-time models
1997
The paper presents a new approach for continuous-time portfolio strategies that relies...
Continuous-time portfolio optimization under terminal wealth constraints
Continuous-time portfolio optimization under terminal wealth constraints
1995
Typically portfolio analysis is based on the expected utility or the mean-variance...
Contingent claim valuation in a market with different interest rates
Contingent claim valuation in a market with different interest rates
1995
The problem of contingent claim valuation in a market with a higher interest rate for...
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