We investigate optimal consumption, asset accumulation and portfolio decisions in a realistically calibrated life-cycle model with flexible labor supply. Our framework allows for wage rate uncertainly, variable labor supply, social security benefits and portfolio choice over safe bonds and risky...

We investigate optimal consumption, asset accumulation and portfolio decisions in a realistically calibrated life-cycle model with flexible labor supply. Our framework allows for wage rate uncertainly, variable labor supply, social security benefits and portfolio choice over safe bonds and risky...

This paper considers the mean-reverting portfolio (MRP) design problem arising from statistical arbitrage (a.k.a. pairs trading) in the financial markets. It aims at designing a portfolio of underlying assets by optimizing the mean reversion strength of the portfolio, while taking into...

We study production planning integrated with risk hedging by considering shortfall as the risk measure. In addition to the one-time production quantity decision, there is a real-time hedging strategy throughout the horizon; and the goal is to minimize the gap between a pre-specified target and...