3 papers
q-fin.MF2026
Optimal Investment to Reach a Financial Goal: A Stochastic Control Framework
Gechun Liang, Moris S. Strub, Yuwei Wang +1
We develop a framework for an investor who trades until she either reaches a financial goal or an exogenous deadline arrives. Analogous to utility functions over wealth, we measure…
q-fin.PM2024
Robust forward investment and consumption under drift and volatility uncertainties: A randomization approach
Wing Fung Chong, Gechun Liang
This paper studies robust forward investment and consumption preferences and optimal strategies for a risk-averse and ambiguity-averse agent in an incomplete financial market with…
math.OC2024
Recursive Optimal Stopping with Poisson Stopping Constraints
Gechun Liang, Wei Wei, Zhen Wu +1
This paper solves a recursive optimal stopping problem with Poisson stopping constraints using the penalized backward stochastic differential equation (PBSDE) with jumps. Stopping…