9 citations · 20 across the 22 of their papers we have counts for
6 papers · 1 filter
Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors
Lijun Bo, Agostino Capponi, Chao Zhou
We study the forward investment performance process (FIPP) in an incomplete semimartingale market model with closed and convex portfolio constraints, when the investor's risk prefe…
Optimal Tracking Portfolio with A Ratcheting Capital Benchmark
Lijun Bo, Huafu Liao, Xiang Yu
This paper studies the finite horizon portfolio management by optimally tracking a ratcheting capital benchmark process. It is assumed that the fund manager can dynamically inject…
Risk-Sensitive Credit Portfolio Optimization under Partial Information and Contagion Risk
Lijun Bo, Huafu Liao, Xiang Yu
This paper investigates the finite horizon risk-sensitive portfolio optimization in a regime-switching credit market with physical and information-induced default contagion. It is…
Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching
Lijun Bo, Huafu Liao, Xiang Yu
We study an open problem of risk-sensitive portfolio allocation in a regime-switching credit market with default contagion. The state space of the Markovian regime-switching proces…
Optimal Investment under Information Driven Contagious Distress
Lijun Bo, Agostino Capponi
We introduce a dynamic optimization framework to analyze optimal portfolio allocations within an information driven contagious distress model. The investor allocates his wealth acr…
Robust Optimization of Credit Portfolios
Agostino Capponi, Lijun Bo
We introduce a dynamic credit portfolio framework where optimal investment strategies are robust against misspecifications of the reference credit model. The risk-averse investor m…