Related papers: A varying terminal time mean-variance model
This paper develops a flexible and computationally efficient multivariate volatility model, which allows for dynamic conditional correlations and volatility spillover effects among financial assets. The new model has desirable properties…
In this paper, we introduce a new time series model having a stochastic exponential tail. This model is constructed based on the Normal Tempered Stable distribution with a time-varying parameter. The model captures the stochastic…
We use classical tools from calculus of variations to formally derive necessary conditions for a Markov control to be optimal in a standard finite time horizon stochastic control problem. As an example, we solve the well-known Merton…
We consider a discrete-time financial market model with finite time horizon and give conditions which guarantee the existence of an optimal strategy for the problem of maximizing expected terminal utility. Equivalent martingale measures are…
This paper compares the optimal investment problems based on monotone mean-variance (MMV) and mean-variance (MV) preferences in the L\'{e}vy market with an untradable stochastic factor. It is an open question proposed by Trybu{\l}a and…
This paper examines an optimal investment problem in a continuous-time (essentially) complete financial market with a finite horizon. We deal with an investor who behaves consistently with principles of Cumulative Prospect Theory, and whose…
In this paper, we combine modern portfolio theory and option pricing theory so that a trader who takes a position in a European option contract and the underlying assets can construct an optimal portfolio such that at the moment of the…
We study the optimal control of discrete time mean filed dynamical systems under partial observations. We express the global law of the filtered process as a controlled system with its own dynamics. Following a dynamic programming approach,…
In this paper, both dynamic mean-variance portfolio selection problems and dynamic variance hedging problems are discussed under non-Markovian framework. Explicit closed-loop equilibrium strategies of these problems are respectively…
We use the martingale method to discuss the relationship between mean-variance (MV) and monotone mean-variance (MMV) portfolio selections. We propose a unified framework to discuss the relationship in general financial markets without any…
Devising efficient algorithms that track the optimizers of continuously varying convex optimization problems is key in many applications. A possible strategy is to sample the time-varying problem at constant rate and solve the resulting…
This paper introduces a Bayesian vector autoregression (BVAR) with stochastic volatility-in-mean and time-varying skewness. Unlike previous approaches, the proposed model allows both volatility and skewness to directly affect macroeconomic…
We study a variance reduction strategy based on control variables for simulating the averaged macroscopic behavior of a stochastic slow-fast system. We assume that this averaged behavior can be written in terms of a few slow degrees of…
This paper investigates a time-inconsistent portfolio selection problem in the incomplete mar ket model, integrating expected utility maximization with risk control. The objective functional balances the expected utility and variance on log…
We study continuous-time portfolio selection under monotone mean-variance (MMV) preferences in a jump-diffusion model, presenting an explicit solution different from that under classical mean-variance (MV) preferences in dynamic settings…
A multi-class single-server queueing model with finite buffers, in which scheduling and admission of customers are subject to control, is studied in the moderate deviation heavy traffic regime. A risk-sensitive cost set over a finite time…
Motivated by the trade-off between exploitation and exploration in reinforcement learning, we study a continuous-time entropy-regularized mean variance portfolio selection problem in the presence of jumps. We propose an exploratory SDE for…
This paper presents a simple method for a posteriori (historical) multi-variate multi-stage optimal trading under transaction costs and a diversification constraint. Starting from a given amount of money in some currency, we analyze the…
For a discrete time Markov chain and in line with Strotz' consistent planning we develop a framework for problems of optimal stopping that are time-inconsistent due to the consideration of a non-linear function of an expected reward. We…
In this paper, we consider a mean-reverting stochastic volatility equation with regime switching, and present some sufficient conditions for the existence of global positive solution, asymptotic boundedness in pth moment, positive…