Thijs Kamma

Maastricht University

P.O. Box 616

Maastricht, Limburg 6200MD

Netherlands

Netspar

P.O. Box 90153

Tilburg, 5000 LE

Netherlands

SCHOLARLY PAPERS

2

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99

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1

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Scholarly Papers (2)

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1.

Near-Optimal Asset Allocation in Financial Markets with Trading Constraints

Kamma, T., & Pelsser, A. (2022). Near-optimal asset allocation in financial markets with trading constraints. European Journal of Operational Research, 297(2), 766-781.
Number of pages: 41 Posted: 30 Jun 2019 Last Revised: 31 Jan 2022
Thijs Kamma and Antoon Pelsser
Maastricht University and Maastricht University
Downloads 71 (439,921)
Citation 1

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Convex duality, incomplete markets, life-cycle investment, Malliavin calculus, state-dependent utility, stochastic optimal control

2.

Dual Formulation of the Optimal Consumption Problem with Multiplicative Habit Formation

Number of pages: 21 Posted: 30 Jan 2022
Thijs Kamma and Antoon Pelsser
Maastricht University and Maastricht University
Downloads 28 (636,730)

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Fenchel duality, habit formation, life-cycle investment, stochastic optimal control, utility maximisation