We propose a dynamic portfolio choice model with the mean-variance criterion for log-returns. The model yields time-consistent portfolio policies and is analytically tractable even under some incomplete market settings. The portfolio policies conform with conventional investment wisdom (e.g....

Theoretical concepts together with estimation and optimization methods for portfolio choice based on Stochastic Dominance are reviewed. Distinction is drawn between the concepts of Pairwise Dominance, Admissibility, Optimality, Efficiency and Spanning. Results of selected empirical studies and...

Compared with extensive empirical literature on contrarian strategy, we build a dynamic mean-variance model with geometric mean reversion stock price which implies a contrarian strategy. Our model suggests that the investor should buy distressed stocks, and sell them after the company recovers....

Fractional Kelly portfolios are popular investment strategies in the market. In this paper, we improve the mean-variance efficiency of a fractional Kelly portfolio by minimizing the variance of the return of a portfolio subject to the constraint that the expected return rate of the portfolio is...

In this paper, we consider the ruin probability minimization of an insurance company that buys proportional reinsurance and invests in markets where borrowing is constrained. We use a diffusion approximation model for the surplus process of this company and assume that the company invests its...

This paper incorporates risk-based margin requirements into portfolio liquidation procedures in a novel fashion. The approach is analytic and, as a result, more efficient than conventional numerical liquidation methods. The margin requirement calculation is a self-contained inner optimization...

Replicating portfolios have recently emerged as an important tool in the life insurance industry, used for the valuation of companies' liabilities. This paper presents a replicating portfolio (RP) model for approximating life insurance liabilities as closely as possible. We minimize the L1 error...

The NP-hard nature of cardinality constrained mean-variance portfolio optimization problems has led to a variety of different algorithms with varying degrees of success in reaching optimality given limited computational resources and under the presence of strict time constraints in practice. The...

Many industries use dynamic pricing on an operational level to maximize revenue from selling a fixed capacity over a finite horizon. Classical risk-neutral approaches do not accommodate the risk aversion often encountered in practice. We add to the scarce literature on risk aversion by...