9 citations · 20 across the 22 of their papers we have counts for
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math.PR2018
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…
q-fin.MF2018
Optimal Credit Investment and Risk Control for an Insurer with Regime-Switching
Lijun Bo, Huafu Liao, Yongjin Wang
This paper studies an optimal investment and risk control problem for an insurer with default contagion and regime-switching. The insurer in our model allocates his/her wealth acro…
q-fin.MF2018
Portfolio Choice with Market-Credit Risk Dependencies
Lijun Bo, Agostino Capponi
We study an optimal investment/consumption problem in a model capturing market and credit risk dependencies. Stochastic factors drive both the default intensity and the volatility…