28 citations · 67 across the 20 of their papers we have counts for
21 papers
An extended Merton problem with relaxed benchmark tracking
Lijun Bo, Yijie Huang, Xiang Yu
This paper studies Merton's problem in an extended formulation by incorporating the benchmark tracking on the wealth process. We consider a tracking formulation where the fund mana…
Stochastic control problems with state-reflections arising from relaxed benchmark tracking
Lijun Bo, Yijie Huang, Xiang Yu
This paper studies stochastic control problems motivated by optimal consumption with wealth benchmark tracking. The benchmark process is modeled by a combination of a geometric Bro…
On time-consistent equilibrium stopping under aggregation of diverse discount rates
Shuoqing Deng, Xiang Yu, Jiacheng Zhang
This paper studies a central planner's decision making on behalf of a group of members with diverse discount rates. In the context of optimal stopping, we work with an aggregation…
Optimal consumption under a drawdown constraint over a finite horizon
Xiaoshan Chen, Xun Li, Fahuai Yi +1
This paper studies a finite horizon utility maximization problem on excessive consumption under a drawdown constraint. Our control problem is an extension of the one considered in…
Optimal dividend and capital injection under spectrally positive Markov additive models
Wenyuan Wang, Kaixin Yan, Xiang Yu
This paper studies De Finetti's optimal dividend problem with capital injection under spectrally positive Markov additive models. Based on dynamic programming principle, we first s…
Optimal consumption with loss aversion and reference to past spending maximum
Xun Li, Xiang Yu, Qinyi Zhang
This paper studies an optimal consumption problem for a loss-averse agent with reference to past consumption maximum. To account for loss aversion on relative consumption, an S-sha…
On optimality of barrier dividend control under endogenous regime switching with application to Chapter 11 bankruptcy
Wenyuan Wang, Xiang Yu, Xiaowen Zhou
Motivated by recent developments in risk management based on the U.S. bankruptcy code, we revisit the De Finetti's optimal dividend problem by incorporating the reorganization proc…
Centralized systemic risk control in the interbank system: Weak formulation and Gamma-convergence
Lijun Bo, Tongqing Li, Xiang Yu
This paper studies a systemic risk control problem by the central bank, which dynamically plans monetary supply to stabilize the interbank system with borrowing and lending activit…
Optimal Dividend Strategy for an Insurance Group with Contagious Default Risk
Zhuo Jin, Huafu Liao, Yue Yang +1
This paper studies the optimal dividend for a multi-line insurance group, in which each subsidiary runs a product line and is exposed to some external credit risk. The default cont…
Lifetime Ruin under High-watermark Fees and Drift Uncertainty
Junbeom Lee, Xiang Yu, Chao Zhou
This paper aims to make a new contribution to the study of lifetime ruin problem by considering investment in two hedge funds with high-watermark fees and drift uncertainty. Due to…
Optimal Stopping under Model Ambiguity: a Time-Consistent Equilibrium Approach
Yu-Jui Huang, Xiang Yu
An unconventional approach for optimal stopping under model ambiguity is introduced. Besides ambiguity itself, we take into account how ambiguity-averse an agent is. This inclusion…
Risk-Sensitive Credit Portfolio Optimization under Partial Information and Contagion Risk
Lijun Bo, Huafu Liao, Xiang Yu
This paper investigates the finite horizon risk-sensitive portfolio optimization in a regime-switching credit market with physical and information-induced default contagion. It is…
On the bail-out dividend problem for spectrally negative Markov additive models
Kei Noba, José-Luis Pérez, Xiang Yu
This paper studies the bail-out optimal dividend problem with regime switching under the constraint that the cumulative dividend strategy is absolutely continuous. We confirm the o…
Utility maximization with proportional transaction costs under model uncertainty
Shuoqing Deng, Xiaolu Tan, Xiang Yu
We consider a discrete time financial market with proportional transaction costs under model uncertainty, and study a numéraire-based semi-static utility maximization problem with…
On Dynamic Programming Principle for Stochastic Control under Expectation Constraints
Yuk-Loong Chow, Xiang Yu, Chao Zhou
This paper studies the dynamic programming principle using the measurable selection method for stochastic control of continuous processes. The novelty of this work is to incorporat…
Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching
Lijun Bo, Huafu Liao, Xiang Yu
We study an open problem of risk-sensitive portfolio allocation in a regime-switching credit market with default contagion. The state space of the Markovian regime-switching proces…
On the Bail-Out Optimal Dividend Problem
José-Luis Pérez, Kazutoshi Yamazaki, Xiang Yu
This paper studies the optimal dividend problem with capital injection under the constraint that the cumulative dividend strategy is absolutely continuous. We consider an open prob…
Optimal Consumption under Habit Formation In Markets with Transaction Costs and Random Endowments
Xiang Yu
This paper studies the optimal consumption under the addictive habit formation preference in markets with transaction costs and unbounded random endowments. To model the proportion…
Erratum to "On the market viability under proportional transaction costs"
Erhan Bayraktar, Xiang Yu
This short note aims to point out mistakes in one of the implications for Theorem 2.8 in Bayraktar and Yu [Mathematical Finance, 28 (2018), pp. 800-838], which weakens the statemen…
Utility maximization with addictive consumption habit formation in incomplete semimartingale markets
Xiang Yu
This paper studies the continuous time utility maximization problem on consumption with addictive habit formation in incomplete semimartingale markets. Introducing the set of auxil…
An Explicit Example Of Optimal Portfolio-Consumption Choices With Habit Formation And Partial Observations
Xiang Yu
We consider a model of optimal investment and consumption with both habit formation and partial observations in incomplete Itô processes market. The investor chooses his consumptio…