A portfolio selection problem in which the prices of stocks follow jump-diffusion process is studied. The objective is to maximize the expected terminal return and minimize the variance of the terminal wealth. A stochastic linear-quadratic control problem is introduced as auxiliary problem of...

A portfolio selection problem in which the prices of stocks follow jump-diffusion process is studied. The objective is to maximize the expected terminal return and minimize the variance of the terminal wealth. A stochastic linear-quadratic control problem is introduced as auxiliary problem of...

The purpose of this paper is to discuss the use of Value Efficiency Analysis (VEA) in efficiency evaluation when preference information is taken into account. Value efficiency analysis is an approach, which applies the ideas developed for Multiple Objective Linear Programming (MOLP) to Data...

We investigate empirical properties of idiosyncratic volatility using cross-sections of stock returns in the standard framework of geometric Brownian motion price dynamics. Knowledge of the sign and magnitude of idiosyncratic volatility characteristics may help us better understand the role of...

Reduced form credit risk models are important ones in credit risk theory. In such a model, certain correlated relations are constructed to represent the default dependence structure among the default intensity processes. In this paper, we introduced a reduced form credit risk model in which the...

In this paper, a multi-dimensional risk model with common shocks is studied. Using a simple probabilistic approach via observing the risk processes at claim instants, recursive integral formulas are developed for the survival probabilities as well as for a class of Gerber–Shiu expected...

We consider a main insurance company with K subcompanies (or lines of busi- ness). The joint evolution of the surpluses of these lines of business is modeled by a Markov-modulated multivariate compound Poisson model with Poisson common shocks, modified by interactions between the lines of...

We consider a continuous-time stochastic optimization problem with infinite horizon, linear dynamics, and cone constraints which includes as a particular case portfolio selection problems under transaction costs for models of stock and currency markets. Using an appropriate geometric formalism...

This paper considers the optimal asset allocation strategy for bank with stochastic interest rates when there are three types of asset: Bank account, loans and securities. The asset allocation problem is to maximize the expected utility from terminal wealth of a bank's shareholders over a finite...

We propose a probabilistic numerical algorithm to solve Backward Stochastic Differential Equations (BSDEs) with nonnegative jumps, a class of BSDEs introduced in [9] for representing fully nonlinear HJB equations. In particular, this allows us to numerically solve stochastic control problems...