Michael Taksar

Best Publications

• Growth-optimal investments and numeraire portfolios under transactions costs

  Igor V. Evstigneev;Wael Bahsoun;Michael I. Taksar;L.C. MacLean

  2114
  Citations

• Controlled diffusion models for optimal dividend pay-out

  Søren Asmussen;Michael Taksar

  577
  Citations

• Optimal risk control and dividend distribution policies: example of excess-of loss reinsurance for an insurance corporation

  Søren Asmussen;Bjarne Højgaard;Michael Taksar

  360
  Citations

• Instantaneous Control of Brownian Motion

  J. Michael Harrison;Michael I. Taksar

  331
  Citations

• A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees

  Michael Taksar;Michael J. Klass;David Assaf

  251
  Citations

• Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example

  Unknown

  223
  Citations

• Optimal proportional reinsurance policies for diffusion models

  Bjarne Højgaard;Michael Taksar

  203
  Citations

• Optimal risk and dividend distribution control models for an insurance company

  Unknown

  176
  Citations

• CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM

  Abel Cadenillas;Tahir Choulli;Michael Taksar;Lei Zhang

  169
  Citations

• A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control

  Tahir Choulli;Michael Taksar;Xun Yu Zhou

  157
  Citations

• Optimal risk and dividend control for a company with a debt liability

  Michael I. Taksar;Xun Yu Zhou

  153
  Citations

• On reinsurance and investment for large insurance portfolios

  Shangzhen Luo;Michael Taksar;Allanus Tsoi

  143
  Citations

• Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy

  Bjarne Højgaard;Michael Taksar

  133
  Citations

• Optimal dynamic reinsurance policies for large insurance portfolios

  Unknown

  130
  Citations

• Markovian demand inventory models

  Dirk Beyer;Feng Cheng;Suresh P. Sethi;Michael Taksar;Michael Taksar

  126
  Citations

• Optimal Financing of a Corporation Subject To Random Returns

  Suresh P. Sethi;Michael I. Taksar

  109
  Citations

• A stochastic volatility model and optimal portfolio selection

  Xudong Zeng;Michael Taksar

  109
  Citations

• Average Optimal Singular Control and a Related Stopping Problem

  Michael I. Taksar

  103
  Citations

• An asymptotic analysis of hierarchical control of manufacturing systems under uncertainty

  John Lehoczky;Suresh P. Sethi;H. M. Soner;Michael I. Taksar

  102
  Citations

• A note on Merton's “Optimum Consumption and Portfolio Rules in a continuous-Time Model”

  Suresh P. Sethi;Michael Taksar

  98
  Citations