相关论文: Sequential $\delta$-optimal consumption and invest…
We consider a stochastic differential equation of the form \[dX_t=\theta a(t,X_t)\,dt+\sigma_1(t,X_t)\sigma_2(t,Y_t)\,dW_t\] with multiplicative stochastic volatility, where $Y$ is some adapted stochastic process. We prove…
We study an infinite-horizon optimal investment, consumption and insurance problem for an economic agent who consumes a perishable and a durable good. The agent trades in a risk-free asset, a risky asset, and a durable good whose price…
The present paper provides a study of high-dimensional statistical arbitrage that combines factor models with the tools from stochastic control, obtaining closed-form optimal strategies which are both interpretable and computationally…
We consider a controlled diffusion process $(X_t)_{t\ge 0}$ where the controller is allowed to choose the drift $\mu_t$ and the volatility $\sigma_t$ from a set $\K(x) \subset \R\times (0,\infty)$ when $X_t=x$. By choosing the largest…
The aim of this paper is to solve an optimal investment, consumption and life insurance problem when the investor is restricted to capital guarantee. We consider an incomplete market described by a jump-diffusion model with stochastic…
We study markets with no riskless (safe) asset. We derive the corresponding Black-Scholes-Merton option pricing equations for markets where there are only risky assets which have the following price dynamics: (i) continuous diffusions; (ii)…
Economists often estimate economic models on data and use the point estimates as a stand-in for the truth when studying the model's implications for optimal decision-making. This practice ignores model ambiguity, exposes the decision…
In this paper, we investigate trading strategies based on exponential moving averages (ExpMAs) of an underlying risky asset. We study both logarithmic utility maximization and long-term growth rate maximization problems and find closed-form…
We study a model of irreversible investment for a decision-maker who has the possibility to gradually invest in a project with unknown value. In this setting, we introduce and explore a feature of "learning-by-doing", where the learning…
Finding Bertram's optimal trading strategy for a pair of cointegrated assets following the Ornstein--Uhlenbeck price difference process can be formulated as an unconstrained convex optimization problem for maximization of expected profit…
We consider a sequential decision making process, such as renewable energy trading or electrical production scheduling, whose outcome depends on the future realization of a random factor, such as a meteorological variable. We assume that…
We study tail risk dynamics in high-frequency financial markets and their connection with trading activity and market uncertainty. We introduce a dynamic extreme value regression model accommodating both stationary and local unit-root…
We study an optimal execution problem in a continuous-time market model that considers market impact. We formulate the problem as a stochastic control problem and investigate properties of the corresponding value function. We find that…
Classical portfolio optimization methods typically determine an optimal capital allocation through the implicit, yet critical, assumption of statistical time-invariance. Such models are inadequate for real-world markets as they employ…
In this paper, we investigate a mean-field singular stochastic optimal control problem for systems governed by mean-field regime-switching singular stochastic differential equations. The state process is assumed to depend on both a regular…
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…
In practice, one must recognize the inevitable incompleteness of information while making decisions. In this paper, we consider the optimal redeeming problem of stock loans under a state of incomplete information presented by the…
We propose martingale consumption as a natural, desirable consumption pattern for any given (proportional) investment strategy. The idea is to always adjust current consumption so as to achieve level expected future consumption under the…
This survey reviews portfolio choice in settings where investment opportunities are stochastic due to, e.g., stochastic volatility or return predictability. It is explained how to heuristically compute candidate optimal portfolios using…
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…