Related papers: Optimal Consumption-Investment with Epstein-Zin Ut…
In this paper, we study a stochastic recursive optimal control problem in which the value functional is defined by the solution of a backward stochastic differential equation (BSDE) under $\tilde{G}$-expectation. Under standard assumptions,…
In this work, we consider the local Cahn-Hilliard-Navier-Stokes equation with regular potential in two dimensional bounded domain. We formulate distributed optimal control problem as the minimization of a suitable cost functional subject to…
We study an optimal execution strategy for purchasing a large block of shares over a fixed time horizon. The execution problem is subject to a general price impact that gradually dissipates due to market resilience. We allow for general…
We study an agent's lifecycle portfolio choice problem with stochastic labor income, borrowing constraints and a finite retirement date. Similarly to arXiv:2002.00201, wages evolve in a path-dependent way, but the presence of a finite…
We present a continuous-time portfolio selection framework that reflects goal-based investment principles and mental accounting behavior. In this framework, an investor with multiple investment goals constructs separate portfolios, each…
We address a long-standing open problem in risk theory, namely the optimal strategy to pay out dividends from an insurance surplus process, if the dividend rate can never be decreased. The optimality criterion here is to maximize the…
We address the crucial yet underexplored stability properties of the Hamilton--Jacobi--Bellman (HJB) equation in model-free reinforcement learning contexts, specifically for Lipschitz continuous optimal control problems. We bridge the gap…
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 study the expected utility portfolio optimization problem in an incomplete financial market where the risky asset dynamics depend on stochastic factors and the portfolio allocation is constrained to lie within a given convex set. We…
We consider a diffusive model for optimally distributing dividends, while allowing for Knightian model ambiguity concerning the drift of the surplus process. We show that the value function is the unique solution of a non-linear…
This paper considers the portfolio management problem of optimal investment, consumption and life insurance. We are concerned with time inconsistency of optimal strategies. Natural assumptions, like different discount rates for consumption…
This paper is concerned with the axiomatic foundation and explicit construction of a general class of optimality criteria that can be used for investment problems with multiple time horizons, or when the time horizon is not known in…
We consider the optimal dividend problem in the so-called degenerate bivariate risk model under the assumption that the surplus of one branch may become negative. More specific, we solve the stochastic control problem of maximizing…
We consider the problem of choosing an optimal portfolio, assuming the asset returns have a Gaussian mixture (GM) distribution, with the objective of maximizing expected exponential utility. In this paper we show that this problem is…
In this paper, we study a stochastic recursive optimal control problem in which the objective functional is described by the solution of a backward stochastic differential equation driven by G-Brownian motion. Under standard assumptions, we…
In this paper we consider a utility maximization problem with defaultable stocks and looping contagion risk. We assume that the default intensity of one company depends on the stock prices of itself and other companies, and the default of…
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…
The problem of portfolio allocation in the context of stocks evolving in random environments, that is with volatility and returns depending on random factors, has attracted a lot of attention. The problem of maximizing a power utility at a…
We extend the work on optimal investment and consumption of a population considered in [2] to a general stochastic setting over a finite time horizon. We incorporate the Cobb-Douglas production function in the capital dynamics while the…
In this paper we investigate the expected terminal utility maximization approach for a dynamic stochastic portfolio optimization problem. We solve it numerically by solving an evolutionary Hamilton-Jacobi-Bellman equation which is…