Related papers: Mean-Variance Portfolio Selection in Contagious Ma…
We study a family of mean field games with a state variable evolving as a multivariate jump diffusion process. The jump component is driven by a Poisson process with a time-dependent intensity function. All coefficients, i.e. drift,…
We investigate the portfolio selection problem against the systemic risk which is measured by CoVaR. We first demonstrate that the systemic risk of pure stock portfolios is essentially uncontrollable due to the contagion effect and the…
In this report we derive the strategic (deterministic) allocation to bonds and stocks resulting in the optimal mean-variance trade-off on a given investment horizon. The underlying capital market features a mean-reverting process for equity…
In this paper, we consider a continuous-time mean-variance portfolio selection with regime-switching and random horizon. Unlike previous works, the dynamic of assets are described by non-Markovian regime-switching models in the sense that…
We study the consistency of sample mean-variance portfolios of arbitrarily high dimension that are based on Bayesian or shrinkage estimation of the input parameters as well as weighted sampling. In an asymptotic setting where the number of…
The classical Markowitz mean-variance model uses variance as a risk measure and calculates frontier portfolios in closed form by using standard optimization techniques. For general mean-risk models such closed form optimal portfolios are…
This paper considers a robust time-consistent mean-variance-skewness portfolio selection problem for an ambiguity-averse investor by taking into account wealth-dependent risk aversion and wealth-dependent skewness preference as well as…
In this paper, we introduce a new class of processes which are diffusions with jumps driven by a multivariate nonlinear Hawkes process. Our goal is to study their long-time behavior. In the case of exponential memory kernels for the…
This paper investigates the finite horizon risk-sensitive portfolio optimization in a regime-switching credit market with physical and information-induced default contagion. It is assumed that the underlying regime-switching process has…
In this paper we study mean-variance hedging under the G-expectation framework. Our analysis is carried out by exploiting the G-martingale representation theorem and the related probabilistic tools, in a contin- uous financial market with…
With the growing digital transformation of the worldwide economy, cyber risk has become a major issue. As 1 % of the world's GDP (around $1,000 billion) is allegedly lost to cybercrime every year, IT systems continue to get increasingly…
This paper investigates optimal investment and insurance strategies under a mean-variance criterion with path-dependent effects. We use a rough volatility model and a Hawkes process with a power kernel to capture the path dependence of the…
The aim of this paper is to examine the time scaling of the semivariance when returns are modeled by various types of jump-diffusion processes, including stochastic volatility models with jumps in returns and in volatility. In particular,…
Given a collection of entities (or nodes) in a network and our intermittent observations of activities from each entity, an important problem is to learn the hidden edges depicting directional relationships among these entities. Here, we…
We consider the problem of optimizing a portfolio of financial assets, where the number of assets can be much larger than the number of observations. The optimal portfolio weights require estimating the inverse covariance matrix of excess…
We consider a stochastic volatility model with jumps where the underlying asset price is driven by the process sum of a 2-dimensional Brownian motion and a 2-dimensional compensated Poisson process. The market is incomplete, resulting in…
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…
In this paper, we consider the portfolio optimization problem in a financial market under a general utility function. Empirical results suggest that if a significant market fluctuation occurs, invested wealth tends to have a notable change…
Optimal B-robust estimate is constructed for multidimensional parameter in drift coefficient of diffusion type process with small noise. Optimal mean-variance robust (optimal V -robust) trading strategy is find to hedge in mean-variance…
Targeting a better understanding of credit market dynamics, the authors have studied a stochastic model named the Hawkes process. Describing trades arrival times, this kind of model allows for the capture of self-excitement and mutual…