This book is an introduction to financial mathematics. It is intended for graduate students in
mathematics and for researchers working in academia and industry. The focus on stochastic …

This paper analyzes the optimal investment strategy for loss averse investors, assuming a
complete market and general Ito processes for the asset prices. The loss-averse investor …

In this paper we investigate an optimal investment strategy for a defined-contribution (DC)
pension plan member who is loss averse, pays close attention to inflation and longevity risks …

We present a scenario decomposition framework based on Lagrangean decomposition for
the multi-product, multi-period, supply investment planning problem considering network …

Fund managers may sensibly be averse to earning a time-averaged portfolio return that is
less than the average return of some designated benchmark. When a portfolio is expected to …

In this work we introduce a class of measures for evaluating the quality of financial positions
based on their ability to achieve desired financial goals. In the spirit of Simon (Simon, HA …

Active portfolio management is concerned with objectives related to the outperformance of
the return of a target benchmark portfolio. In this paper, we consider a dynamic active …

We report a dynamic programming algorithm which, given a set of efficient (or even
inefficient) portfolios, constructs an optimal portfolio trading strategy that maximizes the …

This paper provides an alternative behavioral foundation for an investor's use of power utility
in the objective function and its particular risk aversion parameter. The foundation is …

Financial commentators have called for more research on sustainable spending rates for
individuals and endowments holding diversified portfolios. We present a forward-looking …