4 papers
A Two-fold Randomization Framework for Impulse Control Problems
Haoyang Cao, Yuchao Dong, Zhouhao Yang
We propose and analyze a randomization scheme for a general class of impulse control problems. The solution to this randomized problem is characterized as the fixed point of a comp…
Merton's Problem with Recursive Perturbed Utility
Min Dai, Yuchao Dong, Yanwei Jia +1
The classical Merton investment problem predicts deterministic, state-dependent portfolio rules; however, laboratory and field evidence suggests that individuals often prefer rando…
Data-Driven Merton's Strategies via Policy Randomization
Min Dai, Yuchao Dong, Yanwei Jia +1
We study Merton's expected utility maximization problem in an incomplete market, characterized by a factor process in addition to the stock price process, where all the model primi…
Extended HJB Equation for Mean-Variance Stopping Problem: Vanishing Regularization Method
Yuchao Dong, Harry Zheng
This paper studies the time-inconsistent MV optimal stopping problem via a game-theoretic approach to find equilibrium strategies. To overcome the mathematical intractability of di…