Related papers: Risk-sensitive investment in a finite-factor model

Consider an investor trading dynamically to maximize expected utility from terminal wealth. Our aim is to study the dependence between her risk aversion and the distribution of the optimal terminal payoff. Economic intuition suggests that…

This work focuses on a class of regime-switching jump diffusion processes with a countably infinite state space for the discrete component. Such processes can be used to model complex hybrid systems in which both structural changes, small…

We show how a stochastic version of the Lagrange multiplier method can be combined with the stochastic maximum principle for jump diffusions to solve certain constrained stochastic optimal control problems. Two different terminal…

This study considers an optimal reinsurance, investment, and dividend strategy control problem for insurance companies in a regulated Markov regime-switching environment, intending to maximize long-run average reward. Unlike existing single…

We solve a version of the optimal trade execution problem when the mid asset price follows a displaced diffusion. Optimal strategies in the adapted class under various risk criteria, namely value-at-risk, expected shortfall and a new…

Jump diffusion processes are widely used to model asset prices over time, mainly for their ability to capture complex discontinuous behavior, but inference on the model parameters remains a challenge. Here our goal is posterior inference on…

We prove convergence of the proximal policy gradient method for a class of constrained stochastic control problems with control in both the drift and diffusion of the state process. The problem requires either the running or terminal cost…

The paper studies the robust maximization of utility of terminal wealth in the diffusion financial market model. The underlying model consists with risky tradable asset, whose price is described by diffusion process with misspecified trend…

In this paper, we obtain the maximum principle for optimal controls of stochastic systems with jumps by introducing a new method of variation. The control is allowed to enter both diffusion and jump term and the control domain need not to…

In this paper, we consider the classical problem of utility maximization in a financial market allowing jumps. Assuming that the constraint set is a compact set, rather than a convex one, we use a dynamic method from which we derive a…

We study an optimal dividend problem under a bankruptcy constraint. Firms face a trade-off between potential bankruptcy and extraction of profits. In contrast to previous works, general cash flow drifts, including Ornstein--Uhlenbeck and…

We study a robust utility maximization problem in the unbounded case with a general penalty term and information including jumps. We focus on time consistent penalties and we prove that there exists an optimal probability measure solution…

Volatility measures the amplitude of price fluctuations. Despite it is one of the most important quantities in finance, volatility is not directly observable. Here we apply a maximum likelihood method which assumes that price and volatility…

This paper studies the optimal risk-averse timing to sell a risky asset. The investor's risk preference is described by the exponential, power, or log utility. Two stochastic models are considered for the asset price -- the geometric…

We investigate the optimal reinsurance problem in a risk model with jump clustering features. This modeling framework is inspired by the concept initially proposed in Dassios and Zhao (2011), combining Hawkes and Cox processes with shot…

This work focuses on a class of regime-switching jump diffusion processes, which is a two component Markov processes $(X(t),\Lambda(t))$, where $\Lambda(t)$ is a component representing discrete events taking values in a countably infinite…

This paper studies a robust portfolio optimization problem under the multi-factor volatility model introduced by Christoffersen et al. (2009). The optimal strategy is derived analytically under the worst-case scenario with or without…

We study a microscopic limit order book model, in which the order dynamics depend on the current best bid and ask price and the current volume density functions, simultaneously, and derive its macroscopic high-frequency dynamics. As opposed…

We solve an expected utility-maximization problem with a Value-at-risk constraint on the terminal portfolio value in an incomplete financial market due to stochastic volatility. To derive the optimal investment strategy, we use the dynamic…

We study option prices in financial markets where the risky asset prices are modelled by jump diffusions. It was proposed by Schweizer (1996) in a general semimartingale setting, following earlier works by F\"ollmer and Sondermann (1986)…