This paper studies a dynamic asset-liability management problem of a company with market
frictions. Specifically, the asset prices are modeled by a multivariate geometric Brownian …

We derive a closed-form solution to a continuous-time optimal portfolio selection problem
with return predictability and transaction costs. Specifically, we assume that asset returns are …

This paper studies the optimal investment, consumption and life insurance purchase
problem for a wage earner under the condition that the return on the risky asset is …

In this paper, we aim to study optimal decisions on consumption, investment and purchasing
life insurance of a household with two consecutive generations, say parents and children. A …

In this paper, we provide a closed-form solution to an optimal portfolio execution problem
with stochastic price impact and stochastic net demand pressure. Specifically, each trade of …

This paper studies a portfolio choice problem of a utility-maximizing investor with return
predictability and small liquidity costs. By adopting a logarithmic-return assumption, our …

In this paper, we investigate an investment–consumption optimization problem in continuous-
time settings, where the expected rate of return from a risky asset is predictable with an …

This paper discusses a non-zero-sum stochastic differential game involving multiple players
and model ambiguity. Each economic agent is concerned about the relative performance of …

In this paper, we solve a continuous-time portfolio choice problem of an investor under a
Markov jump linear system that effectively captures stochasticity in asset returns, price …

This paper examines a consumption-portfolio allocation and information trading problem
with recursive utility in continuous time when stock returns are unobservable and when …