104 citations · 216 across the 12 of their papers we have counts for
6 papers · 1 filter
A remark on smooth solutions to a stochastic control problem with a power terminal cost function and stochastic volatilities
Yalçin Aktar, Erik Taflin
Incomplete financial markets are considered, defined by a multi-dimensional non-homogeneous diffusion process, being the direct sum of an Itô process (the price process), and anoth…
Optimal Bond Portfolios
Ivar Ekeland, Erik Taflin
We aim to construct a general framework for portfolio management in continuous time, encompassing both stocks and bonds. In these lecture notes we give an overview of the state of…
Bond Market Completeness and Attainable Contingent Claims
Erik Taflin
A general class, introduced in [Ekeland et al. 2003], of continuous time bond markets driven by a standard cylindrical Brownian motion $\wienerq{}{}$ in is considered.…
A theory of bond portfolios
Ivar Ekeland, Erik Taflin
We introduce a bond portfolio management theory based on foundations similar to those of stock portfolio management. A general continuous-time zero-coupon market is considered. The…
Equity Allocation and Portfolio Selection in Insurance
Erik Taflin
A discrete time probabilistic model, for optimal equity allocation and portfolio selection, is formulated so as to apply to (at least) reinsurance. In the context of a company with…
Equity Allocation and Portfolio Selection in Insurance: A simplified Portfolio Model
Erik Taflin
A quadratic discrete time probabilistic model, for optimal portfolio selection in (re-)insurance is studied. For positive values of underwriting levels, the expected value of the a…