4 papers
Change-point estimation for Weibull time series with copula-based Markov models
Li-Hsien Sun, Zong-Yuan Huang, Yi-Ling Huang +2
We study offline change-point estimation for time series data exhibiting nonlinear serial dependence. To address this problem, we propose a copula-based Markov chain model with Wei…
Mean field social optimization: feedback person-by-person optimality and the dynamic programming equation
Minyi Huang, Shuenn-Jyi Sheu, Li-Hsien Sun
We consider mean field social optimization in nonlinear diffusion models. By dynamic programming with a representative agent employing cooperative optimizer selection, we derive a…
Expected exponential utility maximization of insurers with a general diffusion factor model : The complete market case
Hiroaki Hata, Shuenn-Jyi Sheu, Li-Hsien Sun
In this paper, we consider the problem of optimal investment by an insurer. The insurer invests in a market consisting of a bank account and risky assets. The mean returns and…
Portfolio Optimization with Delay Factor Models
Shuenn-Jyi Sheu, Li-Hsien Sun, Zheng Zhang
We propose an optimal portfolio problem in the incomplete market where the underlying assets depend on economic factors with delayed effects, such models can describe the short ter…