24 citations · 59 across the 23 of their papers we have counts for
3 papers · 1 filter
Invariance principle for biased Boostrap Random Walk
Andrea Collevecchio, Kais Hamza, Yunxuan Liu
Our main goal is to study a class of processes whose increments are generated via a cellular automata rule. Given the increments of a simple biased random walk, a new sequence of (…
Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method
Rongju Zhang, Nicolas Langrené, Yu Tian +3
In this paper, we propose a novel investment strategy for portfolio optimization problems. The proposed strategy maximizes the expected portfolio value bounded within a targeted ra…
Convergence of the age structure of general schemes of population processes
Jie Yen Fan, Kais Hamza, Peter Jagers +1
We consider a family of general branching processes with reproduction parameters depending on the age of the individual as well as the population age structure and a parameter ,…