4 papers
Asymmetric Nonlinear Return Extrapolation and Optimal Portfolio Choice under Stochastic Volatility
Dong Yan, Wenrui Ye, Zhiyue Zong +1
We extend the return extrapolation framework of Atmaz (2022) to incorporate two behaviorally realistic features absent from the linear benchmark: saturation in belief updating and…
Portfolio selection with exogenous and endogenous transaction costs under a two-factor stochastic volatility model
Dong Yan, Ke Zhou, Zirun Wang +1
In this paper, we investigate a portfolio selection problem with transaction costs under a two-factor stochastic volatility structure, where volatility follows a mean-reverting pro…
Pricing American options with exogenous and endogenous transaction costs
Dong Yan, Xin-Jie Huang, Guiyuan Ma +1
We study an American option pricing problem with liquidity risks and transaction fees. As endogenous transaction costs, liquidity risks of the underlying asset are modeled by a mea…
A deep learning-driven iterative scheme for high-dimensional HJB equations in portfolio selection with exogenous and endogenous costs
Dong Yan, Nanyi Zhang, Junyi Guo
In this paper, we first conduct a study of the portfolio selection problem, incorporating both exogenous (proportional) and endogenous (resulting from liquidity risk, characterized…