Related papers: Continuous-Time Monotone Mean-Variance Portfolio S…
In this paper, we investigate mean-variance (MV) portfolio selection problems with jumps in a regime-switching financial model. The novelty of our approach lies in allowing not only the market parameters -- such as the interest rate,…
This paper studies dynamic mean-variance (MV) asset allocation problems in general incomplete markets. Besides of the conventional MV objective on portfolio's terminal wealth, our framework can accommodate running MV objectives with general…
We consider a mean-variance portfolio selection problem in a financial market with contagion risk. The risky assets follow a jump-diffusion model, in which jumps are driven by a multivariate Hawkes process with mutual-excitation effect. The…
The standard approach for constructing a Mean-Variance portfolio involves estimating parameters for the model using collected samples. However, since the distribution of future data may not resemble that of the training set, the…
In this paper, we are concerned with the optimization of a dynamic investment portfolio when the securities which follow a multivariate Merton model with dependent jumps are periodically invested and proceed by approximating the…
Instead of controlling "symmetric" risks measured by central moments of investment return or terminal wealth, more and more portfolio models have shifted their focus to manage "asymmetric" downside risks that the investment return is below…
Multi-period mean-variance optimization is a long-standing problem, caused by the failure of dynamic programming principle. This paper studies the mean-variance optimization in a setting of finite-horizon discrete-time Markov decision…
This paper studies a variation of the continuous-time mean-variance portfolio selection where a tracking-error penalization is added to the mean-variance criterion. The tracking error term penalizes the distance between the allocation…
We consider continuous-time mean-variance portfolio selection with bankruptcy prohibition under convex cone portfolio constraints. This is a long-standing and difficult problem not only because of its theoretical significance, but also for…
In this paper, we study closed-loop equilibrium strategies for mean-variance portfolio selection problem in a hidden Markov model with dynamic attention behavior. In addition to the investment strategy, the investor's attention to news is…
In this paper, an optimization problem for the monotone mean-variance(MMV) criterion is considered in the perspective of the insurance company. The MMV criterion is an amended version of the classical mean-variance(MV) criterion which…
We employ model predictive control for a multi-period portfolio optimization problem. In addition to the mean-variance objective, we construct a portfolio whose allocation is given by model predictive control with a risk-parity objective,…
The conventional wisdom of mean-variance (MV) portfolio theory asserts that the nature of the relationship between risk and diversification is a decreasing asymptotic function, with the asymptote approximating the level of portfolio…
It is well known that mean-variance portfolio selection is a time-inconsistent optimal control problem in the sense that it does not satisfy Bellman's optimality principle and therefore the usual dynamic programming approach fails. We…
We study dynamic optimal portfolio allocation for monotone mean--variance preferences in a general semimartingale model. Armed with new results in this area we revisit the work of Cui, Li, Wang and Zhu (2012, MAFI) and fully characterize…
Jump stochastic volatility models are central to financial econometrics for volatility forecasting, portfolio risk management, and derivatives pricing. Markov Chain Monte Carlo (MCMC) algorithms are computationally unfeasible for the…
This paper explores an optimal investment and reinsurance problem involving both ordinary and catastrophe insurance businesses. The catastrophic events are modeled as following a compound Poisson process, impacting the ordinary insurance…
In this paper, we study a mean-variance optimization problem in an infinite horizon discrete time discounted Markov decision process (MDP). The objective is to minimize the variance of system rewards with the constraint of mean performance.…
This paper investigates a mean-field game (MFG) problem for mean-variance (MV) portfolio management, highlighting a new type of relative performance encoded by the peer-based risk aversion. Specifically, the risk aversion is formulated as a…
We consider an incomplete market with a nontradable stochastic factor and a continuous time investment problem with an optimality criterion based on monotone mean-variance preferences. We formulate it as a stochastic differential game…