1. Portfolio optimization in DC pension scheme with unhedgeable stochastic wage. (2025). Menoncin, Francesco ; Vigna, Elena.
   In: Carlo Alberto Notebooks.
   RePEc:cca:wpaper:740.

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2. A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment. (2024). Saito, Taiga ; Kizaki, Keisuke ; Takahashi, Akihiko.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:114:y:2024:i:c:p:132-155.

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3. Time-varying relative risk aversion: Theoretical mechanism and empirical evidence. (2024). Liu, Haiyong ; Cai, Zongwu.
   In: Journal of Empirical Finance.
   RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000707.

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4. Dynamic asset allocation with multiple regime‐switching markets. (2023). Shi, Jianmin.
   In: International Journal of Finance & Economics.
   RePEc:wly:ijfiec:v:28:y:2023:i:2:p:1741-1755.

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5. Optimal multivariate financial decision making. (2023). Vanduffel, Steven ; de Gennaro, L ; Bernard, C.
   In: European Journal of Operational Research.
   RePEc:eee:ejores:v:307:y:2023:i:1:p:468-483.

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6. A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment (Forthcoming in Insurance: Mathematics and Economics). (2023). Saito, Taiga ; Kizaki, Keisuke ; Takahashi, Akihiko.
   In: CARF F-Series.
   RePEc:cfi:fseres:cf576.

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7. A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment. (2023). Saito, Taiga ; Kizaki, Keisuke ; Takahashi, Akihiko.
   In: CARF F-Series.
   RePEc:cfi:fseres:cf551.

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8. A Multi-agent Incomplete Equilibrium Model and Its Applications to Reinsurance Pricing and Life-Cycle Investment. (2022). Saito, Taiga ; Kizaki, Keisuke ; Takahashi, Akihiko.
   In: CIRJE F-Series.
   RePEc:tky:fseres:2022cf1206.

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9. Revisiting the Merton Problem: from HARA to CARA Utility. (2022). Zhu, Song-Ping ; Ma, Guiyuan.
   In: Computational Economics.
   RePEc:kap:compec:v:59:y:2022:i:2:d:10.1007_s10614-021-10102-z.

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10. Pricing and hedging in incomplete markets with model uncertainty. (2020). Pelsser, Antoon ; Balter, Anne G.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:282:y:2020:i:3:p:911-925.

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11. The role of labor-income risk in household risk-taking. (2020). Li, Jian ; Koulovatianos, Christos ; Hubar, Sylwia.
    In: European Economic Review.
    RePEc:eee:eecrev:v:129:y:2020:i:c:s0014292120301537.

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12. Optimal control of multiple Markov switching stochastic system with application to portfolio decision. (2020). Shi, Jianmin.
    In: Papers.
    RePEc:arx:papers:2010.16102.

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13. CONTINUOUS-TIME MEAN–VARIANCE OPTIMIZATION FOR DEFINED CONTRIBUTION PENSION FUNDS WITH REGIME-SWITCHING. (2019). Chen, Zhiping ; Wang, Liyuan ; Yao, Haixiang.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:22:y:2019:i:06:n:s0219024919500298.

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14. Valuation of mortgage interest deductibility under uncertainty: An option pricing approach. (2019). Afkhami, Mohamad ; Ghoddusi, Hamed.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:103:y:2019:i:c:p:102-122.

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15. An analytical solution for the HJB equation arising from the Merton problem. (2018). Zhu, Song-Ping ; Ma, Guiyuan.
    In: International Journal of Financial Engineering (IJFE).
    RePEc:wsi:ijfexx:v:05:y:2018:i:01:n:s2424786318500081.

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16. Optimal Asset Allocation for Commodity Sovereign Wealth Funds. (2018). Ma, Lin ; Irarrazabal, Alfonso A.
    In: Working Paper Series.
    RePEc:hhs:nlsseb:2018_011.

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17. An Optimal Investment Strategy for Insurers in Incomplete Markets. (2018). Badaoui, Mohamed ; Fernandez, Begoa ; Swishchuk, Anatoliy.
    In: Risks.
    RePEc:gam:jrisks:v:6:y:2018:i:2:p:31-:d:139381.

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18. Optimal portfolio choices and the determination of housing rents under housing market uncertainty. (2018). Ong, Seow Eng ; Deng, Xiaoying ; Pu, Ming ; Fan, Gang-Zhi.
    In: Journal of Housing Economics.
    RePEc:eee:jhouse:v:41:y:2018:i:c:p:200-217.

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19. Unemployment Risks and Optimal Retirement in an Incomplete Market. (2016). Park, Seyoung ; Jang, Bong-Gyu ; Bensoussan, Alain.
    In: Operations Research.
    RePEc:inm:oropre:v:64:y:2016:i:4:p:1015-1032.

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20. A Mean-Variance Benchmark for Intertemporal Portfolio Theory. (2013). Cochrane, John.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18768.

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21. Solving Constrained Consumption-Investment Problems by Simulation of Artificial Market Strategies. (2013). Munk, Claus ; Kraft, Holger ; Bick, Bjorn .
    In: Management Science.
    RePEc:inm:ormnsc:v:59:y:2013:i:2:p:485-503.

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22. Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model. (2013). Li, Zhongfei ; Zeng, Yan ; Viens, Frederi G. ; Yi, BO.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:53:y:2013:i:3:p:601-614.

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23. Portfolio selection and portfolio frontier with background risk. (2013). Huang, Hung-Hsi ; Wang, Ching-Ping.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:26:y:2013:i:c:p:177-196.

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24. Evaluating an Investment Project in an Incomplete Market. (2012). Wang, George Yungchih.
    In: The Review of Finance and Banking.
    RePEc:rfb:journl:v:04:y:2012:i:1:p:055-073.

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25. Saving Rates and Portfolio Choice with Subsistence Consumption. (2012). Koulovatianos, Christos ; Hubar, Sylwia ; Achury, Carolina.
    In: Review of Economic Dynamics.
    RePEc:red:issued:10-11.

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26. Optimal Portfolio Choices, House Risk Hedging and the Pricing of Forward House Transactions. (2012). Fan, Gang-Zhi ; Ong, Seow ; Pu, Ming.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:45:y:2012:i:1:p:3-29.

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27. Equilibrium in securities markets with heterogeneous investors and unspanned income risk. (2012). Munk, Claus ; Christensen, Peter Ove ; Larsen, Kasper.
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:147:y:2012:i:3:p:1035-1063.

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28. Lifetime investment and consumption using a defined-contribution pension scheme. (2012). Emms, Paul.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:36:y:2012:i:9:p:1303-1321.

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29. The costs of suboptimal dynamic asset allocation: General results and applications to interest rate risk, stock volatility risk, and growth/value tilts. (2012). Munk, Claus ; Larsen, Linda Sandris.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:36:y:2012:i:2:p:266-293.

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30. On optimal pension management in a stochastic framework with exponential utility. (2011). Ma, Qing-Ping.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:49:y:2011:i:1:p:61-69.

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31. An optimal life insurance policy in the investment-consumption problem in an incomplete market. (2011). Egami, Masahiko ; Iwaki, Hideki.
    In: Papers.
    RePEc:arx:papers:0801.0195.

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32. Optimal portfolios for DC pension plans under a CEV model. (2009). Gao, Jianwei.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:44:y:2009:i:3:p:479-490.

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33. Optimal Risk Taking with Flexible Income. (2007). Cvitanic, Jaksa ; Goukasian, Levon ; Jakša Cvitani'{c}, ; Zapatero, Fernando.
    In: Management Science.
    RePEc:inm:ormnsc:v:53:y:2007:i:10:p:1594-1603.

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34. A computational scheme for the optimal strategy in an incomplete market. (2007). Meng, XU ; Sullivan, Michael G. ; Keppo, Jussi.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:31:y:2007:i:11:p:3591-3613.

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35. Valuation of pension liabilities in incomplete markets. (2005). de Jong, Frank.
    In: Working Papers.
    RePEc:dnb:dnbwpp:067.

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1. Optimal Entry and Exit Decisions Under Uncertainty and the Impact of Mean Reversion. (2022). Tvedt, Jostein.
   In: SN Operations Research Forum.
   RePEc:spr:snopef:v:3:y:2022:i:4:d:10.1007_s43069-022-00161-9.

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2. Leaving well-worn paths: Reversal of the investment-uncertainty relationship and flexible biogas plant operation. (2022). Kupfer, Stefan ; Lauven, Lars-Peter ; Briest, Gordon ; Lukas, Elmar.
   In: European Journal of Operational Research.
   RePEc:eee:ejores:v:300:y:2022:i:3:p:1162-1176.

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3. Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations. (2020). Tarnopolskaya, Tanya ; Hinz, Juri ; Yee, Jeremy.
   In: Annals of Operations Research.
   RePEc:spr:annopr:v:286:y:2020:i:1:d:10.1007_s10479-018-2910-3.

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4. APPROXIMATION METHODS FOR INHOMOGENEOUS GEOMETRIC BROWNIAN MOTION. (2019). Jiang, Yupeng ; Capriotti, Luca ; Shaimerdenova, Gaukhar.
   In: International Journal of Theoretical and Applied Finance (IJTAF).
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5. Market driven ship investment decision using the real option approach. (2018). Kou, Ying ; Luo, Meifeng.
   In: Transportation Research Part A: Policy and Practice.
   RePEc:eee:transa:v:118:y:2018:i:c:p:714-729.

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6. Towards sustainable mining (Part I): Valuing investment opportunities in the mining sector. (2017). Rojo, Javier ; Espinoza, David R.
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7. The application of DNPV to unlock foreign direct investment in waste-to-energy in developing countries. (2017). Ebrahimi, Seyed Babak ; Shimbar, Ali.
   In: Energy.
   RePEc:eee:energy:v:132:y:2017:i:c:p:186-193.

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8. Optimal funding and hiring/firing policies with mean reverting demand. (2016). Prigent, Jean-Luc ; Bouasker, O ; Letifi, N.
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   RePEc:eee:ecmode:v:58:y:2016:i:c:p:569-579.

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9. Leveraged investments and agency conflicts when cash flows are mean reverting. (2016). Hambusch, Gerhard ; Glover, Kristoffer.
   In: Journal of Economic Dynamics and Control.
   RePEc:eee:dyncon:v:67:y:2016:i:c:p:1-21.

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10. What do market-calibrated stochastic processes indicate about the long-term price of crude oil?. (2014). Hahn, Warren J. ; Dyer, James S. ; DiLellio, James A..
    In: Energy Economics.
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11. Irreversible exit decisions under mean-reverting uncertainty. (2013). Tsekrekos, Andrianos.
    In: Journal of Economics.
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12. Feedback effects of credit ratings. (2013). Manso, Gustavo.
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    RePEc:eee:jfinec:v:109:y:2013:i:2:p:535-548.

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13. Irreversibility, mean reversion, and investment timing. (2013). Yi, Long ; Wong, Kit Pong.
    In: Economic Modelling.
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14. Feedback Effects of Credit Ratings. (2011). Manso, Gustavo.
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15. Progressive taxation and corporate liquidation policies with mean-reverting earnings. (2010). Wong, Kit Pong ; Chu, Kai Cheung .
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16. The effect of mean reversion on entry and exit decisions under uncertainty. (2010). Tsekrekos, Andrianos.
    In: Journal of Economic Dynamics and Control.
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17. Flexibility as a source of value in the production of alternative fuels: The ethanol case. (2009). Hahn, Warren J. ; Brando, Luiz ; Bastian-Pinto, Carlos .
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18. Valuing flexibility: The case of an Integrated Gasification Combined Cycle power plant. (2008). Chamorro, Jose ; Abadie, Luis M..
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19. Equity Systematic Risk (Beta) and Its Determinants*. (2007). Sarkar, Sudipto ; Hong, Gwangheon.
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20. Monte Carlo Valuation of natural gas investments. (2006). Abadie, Luis Maria ; Jose Manuel Chamorro Gomez, .
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21. The market value of forest concessions in the Brazilian Amazon: a Real Option approach. (2006). Moreira, Ajax ; Moreira, Ajax R. B., ; Carvalho, Leonardo ; Rocha, Katia ; Reis, Eustaquio J..
    In: Forest Policy and Economics.
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22. A synthetic protective put strategy for phased investment in projects without an outright deferral.. (2005). Bhattacharya, Sukanto.
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23. Valuing Flexibility: The case of an Integrated Gasification Combined Cycle Power Plant. (2005). Chamorro, Jose ; Abadie, Luis Maria.
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24. Valuing Flexibility: The case of an Integrated Gasification Combined Cycle Power Plant. (2005). Abadie, Luis M. ; Chamorro, Jose M..
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25. Explicit solutions to an optimal portfolio choice problem with stochastic income. (2005). Henderson, Vicky.
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26. The effect of mean reversion on investment under uncertainty. (2003). Sarkar, Sudipto.
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