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q-fin.PM2023
Optimal Portfolio with Ratio Type Periodic Evaluation under Short-Selling Prohibition
Wenyuan Wang, Kaixin Yan, Xiang Yu
This paper studies some unconventional utility maximization problems when the ratio type relative portfolio performance is periodically evaluated over an infinite horizon. Meanwhil…
math.OC2023
De Finetti's Poissonian Dividend Control Problem under Spectrally Positive Markov Additive Process
Lijun Bo, Wenyuan Wang, Kaixin Yan
We study a De Finetti's optimal dividend and capital injection problem under a Markov additive model. The surplus process without dividend and capital injection is assumed to follo…