The paper considers kernel estimation of conditional quantiles for both short-range and long-range-dependent processes. Under mild regularity conditions, we obtain Bahadur representations and central limit theorems for kernel quantile estimates of those processes. Our theory is applicable to...

Recently considerable attention has been given to downside risk control in the context of portfolio choice; see Sortino and Satchell (2005). We propose an integrated model for portfolio choice in which downside risk is considered explicitly at the stage of the scenario generation which describes...

The paper considers kernel estimation of conditional quantiles for both short-range and long-range-dependent processes. Under mild regularity conditions, we obtain Bahadur representations and central limit theorems for kernel quantile estimates of those processes. Our theory is applicable to...

This paper studies the utility maximization problem on consumption with addictive habit formation in the market with proportional transaction costs and unbounded random endowment. To model the proportional transaction costs, we adopt the Kabanov's multi-asset framework with a cash account. At...

This paper studies the utility maximization problem on the terminal wealth with both random endowments and proportional transaction costs. To deal with unbounded random payoffs from some illiquid claims, we propose to work with the acceptable portfolios defined via the consistent price system...

An adherent nano-superhard titanium nitride (TiN) film on the substrate of Cr12Mo4V high speed steel was prefabricated in a vacuum cathode multi-arc ion-plating system. Microhardness, film-to-substrate adhesion, and microstructure of the film were investigated typically using Vickers hardometer,...

We consider a notion of weak no arbitrage condition commonly known as Robust No Unbounded Profit with Bounded Risk (RNUPBR) in the context of continuous time markets with small proportional transaction costs. We show that the RNUPBR condition on terminal liquidation value holds if and only if...

In this paper, we propose a framework to estimate the yield curve in the illiquid market. Within this framework, seven different curve-fitting models are compared from four aspects with the trading data of government bonds listed in the Shanghai Stock Exchange (SSE) of China. We find that the...