28 citations · 67 across the 20 of their papers we have counts for
6 papers · 1 filter
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…
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…
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 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…