Haugh Martin

Martin Haugh

Information about the author Martin Haugh will soon be added to the site.
Found 3 papers in total
Tax-Aware Dynamic Asset Allocation
Tax-Aware Dynamic Asset Allocation
2016
We consider dynamic asset allocation problems where the agent is required to pay...
Linear–quadratic control and information relaxations
Linear–quadratic control and information relaxations
2012
We apply recently developed duality methods to the classic linear–quadratic (LQ)...
Optimal control and hedging of operations in the presence of financial markets
Optimal control and hedging of operations in the presence of financial markets
2006
We consider the problem of dynamically hedging the profits of a corporation when these...
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