2 papers
math.OC2024
Value Maximization under Stochastic Quasi-Hyperbolic Discounting
Kaixin Yan, Wenyuan Wang, Jinxia Zhu
We investigate a value-maximizing problem incorporating a human behavior pattern: present-biased-ness, for a firm which navigates strategic decisions encompassing earning retention…
q-fin.PM2024
Optimal portfolio under ratio-type periodic evaluation in incomplete markets with stochastic factors
Wenyuan Wang, Kaixin Yan, Xiang Yu
This paper studies a type of periodic utility maximization for portfolio management in an incomplete market model, where the underlying price diffusion process depends on some exte…