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