7 papers
optimal credit portfolio and consumption with regime switching and default contagion
Fei Sun, Wenyuan Wang, Kaixin Yan
We study optimal portfolio and consumption in a regime-switching multi-name credit market with default contagion. Defaults generate portfolio losses and alter the intensities of su…
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…