2 papers
math.OC2025
Multi-period Asset-liability Management with Reinforcement Learning in a Regime-Switching Market
Zhongqin Gao, Ping Chen, Xun Li +2
This paper explores the mean-variance portfolio selection problem in a multi-period financial market characterized by regime-switching dynamics and uncontrollable liabilities. To a…
math.OC2025
Optimal Consumption-Investment for General Utility with a Drawdown Constraint over a Finite-Time Horizon
Chonghu Guan, Xinfeng Gu, Wenhao Zhang +1
We study an optimal investment and consumption problem over a finite-time horizon, in which an individual invests in a risk-free asset and a risky asset, and evaluate utility using…