5 papers
Efficient frontiers for portfolios under SSD and law-invariant risk measures with hyperbolic return distributions
Hasanjan Sayit
In the classical Markowitz mean variance framework, risk is measured by variance, and the portfolios on the efficient frontier can be derived in closed form using standard optimiza…
Two-fund separation under hyperbolically distributed returns and concave utility functions
Nuerxiati Abudurexiti, Erhan Bayraktar, Takaki Hayashi +1
Portfolio selection problems that optimize expected utility are usually difficult to solve. If the number of assets in the portfolio is large, such expected utility maximization pr…
Exponential utility maximization in small/large financial markets
Miklós Rásonyi, Hasanjan Sayit
Obtaining utility maximizing optimal portfolios in closed form is a challenging issue when the return vector follows a more general distribution than the normal one. In this note,…
On certain integral functionals of integer-valued subordinators
Dongdong Hu, Hasanjan Sayit, Weixuan Xia
It is known that the exponential functional of a Poisson process admits a probability density function in the form of an infinite series. In this paper, we obtain an explicit expre…
Iterated Poisson Processes for Catastrophic Risk Modeling in Ruin Theory
Dongdong Hu, Svetlozar T. Rachev, Hasanjan Sayit +2
This paper studies the properties of the Multiply Iterated Poisson Process (MIPP), a stochastic process constructed by repeatedly time-changing a Poisson process, and its applicati…