Search Results for author:
Found 8 papers, 0 papers with code
Duality in optimal consumption--investment problems with alternative data
This study investigates an optimal consumption--investment problem in which the unobserved stock trend is modulated by a hidden Markov chain that represents different economic regimes.
Adaptive Robust Online Portfolio Selection
Finally, we compare the performance of our strategy with that of existing OLPS strategies using both benchmark and newly collected data sets.
Optimal Expansion of Business Opportunity
The length of the waiting period is related to the opportunity cost, return, and risk of the expanded business.
Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate
We also use a numerical study to reveal the influence of LRD on equilibrium strategies.
Volterra mortality model: Actuarial valuation and risk management with long-range dependence
While abundant empirical studies support the long-range dependence (LRD) of mortality rates, the corresponding impact on mortality securities are largely unknown due to the lack of appropriate tractable models for valuation and risk management purposes.
Time-inconsistency with rough volatility
In this paper, we consider equilibrium strategies under Volterra processes and time-inconsistent preferences embracing mean-variance portfolio selection (MVP).
Merton's portfolio problem under Volterra Heston model
This paper investigates Merton's portfolio problem in a rough stochastic environment described by Volterra Heston model.
Mean-variance portfolio selection under Volterra Heston model
Motivated by empirical evidence for rough volatility models, this paper investigates continuous-time mean-variance (MV) portfolio selection under the Volterra Heston model.
