8 papers
Optimal Reinsurance-Dividend Strategy with Fixed Transaction Costs in a Regime-Switching Brownian Risk Model: A Viscosity Solution to the Impulse Control Problem
Wenyuan Wang, Zuo Quan Xu, Kaixin Yan
We consider a problem of optimal proportional reinsurance-dividend distribution under a Brownian risk model, where both the drift and volatility coefficients are subject to endogen…
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…
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…
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…
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…
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…
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…