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Dynamic portfolio selection with mispricing and model ambiguity

Yi, Bo; Viens, Frederi; Law, Baron; Li, Zhongfei - In: Annals of Finance 11 (2015) 1, pp. 37-75

We investigate optimal portfolio selection problems with mispricing and model ambiguity under a financial market which contains a pair of mispriced stocks. We assume that the dynamics of the pair satisfies a “cointegrated system” advanced by Liu and Timmermann in a 2013 manuscript. The...

Persistent link: https://www.econbiz.de/10011155083

Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model

Yi, Bo; Li, Zhongfei; Viens, Frederi G.; Zeng, Yan - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 601-614

Persistent link: https://www.econbiz.de/10010227929

Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility

Kim, Ha Young; Viens, Frederi G. - In: Annals of finance 8 (2012) 2/3, pp. 405-425

Persistent link: https://www.econbiz.de/10009548076

Dynamic portfolio selection with mispricing and model ambiguity

Yi, Bo; Viens, Frederi G.; Law, Baron; Li, Zhongfei - In: Annals of finance 11 (2015) 1, pp. 37-75

Persistent link: https://www.econbiz.de/10011376170

Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity

Gu, Ailing; Viens, Frederi G.; Yi, Bo - In: Insurance / Mathematics & economics 72 (2017), pp. 235-249

Persistent link: https://www.econbiz.de/10011694708

Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing

Gu, Ailing; Viens, Frederi G.; Yao, Haixiang - In: Insurance / Mathematics & economics 80 (2018), pp. 93-109

Persistent link: https://www.econbiz.de/10011872916

Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model

Gu, Ailing; Viens, Frederi G.; Shen, Yang - In: Scandinavian actuarial journal 2020 (2020) 4, pp. 342-375

Persistent link: https://www.econbiz.de/10012262741

Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model

Gu, Ailing; Chen, Shumin; Li, Zhongfei; Viens, Frederi G. - In: Scandinavian actuarial journal 2022 (2022) 9, pp. 749-774

Persistent link: https://www.econbiz.de/10013419039