In this article, we investigate the validity of diversification effect under extreme-value copulas, when the marginal risks of the portfolio are identically distributed, which can be any one having a finite endpoint or belonging to one of the three maximum domains of attraction. We show that...

This paper studies the optimal advertising policy over the product life cycle of a semi-durable good whose failure rate is a design decision. The product adoption process draws from three sources of consumers: innovators who find the product directly, consumers influenced by advertising, and...

This paper studies a robust portfolio choice problem with return predictability and price impacts in continuous time. Asset returns are modeled by some stochastic factors and trades incur both transient and permanent price impacts. Assuming ambiguity aversions toward asset returns and...

In this paper, we solve a continuous-time portfolio choice problem of an investor under a Markov jump linear system that effectively captures stochasticity in asset returns, price impacts, and market resilience. Specifically, the investor chooses his portfolio to maximize the expected excess...