Showing q-fin.MFShow all
3 papers · 1 filter
q-fin.MF2026
Optimal credit portfolio and consumption with regime switching and default contagion
Fei Sun, Wenyuan Wang, Kaixin Yan
We study an optimal portfolio and consumption problem in a regime-switching multi-name credit market with default contagion. Default events not only generate direct portfolio losse…
q-fin.MF2025
De Finetti's problem with fixed transaction costs and regime switching
Wenyuan Wang, Zuo Quan Xu, Kazutoshi Yamazaki +2
In this paper, we examine a modified version of de Finetti's optimal dividend problem, incorporating fixed transaction costs and altering the surplus process by introducing two-val…
q-fin.MF2024
Optimal portfolio under ratio-type periodic evaluation in stochastic factor models under convex trading constraints
Wenyuan Wang, Kaixin Yan, Xiang Yu
This paper studies a type of periodic utility maximization problem for portfolio management in incomplete stochastic factor models with convex trading constraints. The portfolio pe…