Showing 2023Show all
2 papers · 1 filter
q-fin.PM2023
On optimal tracking portfolio in incomplete markets: The reinforcement learning approach
Lijun Bo, Yijie Huang, Xiang Yu
This paper studies an infinite horizon optimal tracking portfolio problem using capital injection in incomplete market models. The benchmark process is modelled by a geometric Brow…
math.OC2023
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…