Group for Research in Decision Analysis

Publications

François Watier

Articles

Switch-when-safe multiperiod nean-variance strategies
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International Journal of Statistics and Probability, 2(2), 59–66, 2013 BibTeX reference
Bounds for goal achieving probabilities of mean-variance strategies with a no bankruptcy constraint
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Applied Mathematics, 3(12A), 2022–2025, 2012 BibTeX reference
Goal achieving probabilities of constrained mean-variance strategies
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Statistics and Probability Letters, 81(8), 1021–1026, 2011 BibTeX reference
Mean-variance efficiency with extended CIR interest rates
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Applied Stochastic Models in Business and Industry, 26(1), 71–84, 2010 BibTeX reference
FBSDE approach to utility portfolio selection in a market with random parameters
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Statistics and Probability Letters, 78(4), 426–434, 2008 BibTeX reference