4 papers · 1 filter
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…
Optimal consumption under relaxed benchmark tracking and consumption drawdown constraint
Lijun Bo, Yijie Huang, Kaixin Yan +1
This paper studies an optimal consumption problem with both relaxed benchmark tracking and consumption drawdown constraint, leading to a stochastic control problem with dynamic sta…
Value Maximization under Stochastic Quasi-Hyperbolic Discounting
Kaixin Yan, Wenyuan Wang, Jinxia Zhu
We investigate a value-maximizing problem incorporating a human behavior pattern: present-biased-ness, for a firm which navigates strategic decisions encompassing earning retention…
Optimal portfolio under ratio-type periodic evaluation in incomplete markets with stochastic factors
Wenyuan Wang, Kaixin Yan, Xiang Yu
This paper studies a type of periodic utility maximization for portfolio management in an incomplete market model, where the underlying price diffusion process depends on some exte…