On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability
In this paper we derive the exact solution of the multi-period portfolio choice problem for an
exponential utility function under return predictability. It is assumed that the asset returns …
exponential utility function under return predictability. It is assumed that the asset returns …
[图书][B] Introduction to stochastic finance
JA Yan - 2018 - books.google.com
This book gives a systematic introduction to the basic theory of financial mathematics, with
an emphasis on applications of martingale methods in pricing and hedging of contingent …
an emphasis on applications of martingale methods in pricing and hedging of contingent …
Multi-period power utility optimization under stock return predictability
In this paper, we derive an analytical solution to the dynamic optimal portfolio choice
problem in the case of an investor equipped with a power utility function of wealth. The …
problem in the case of an investor equipped with a power utility function of wealth. The …
Optimal martingale measure maximizing the expected total utility of consumption with applications to derivative pricing
P Li, SY Wang - Optimization, 2008 - Taylor & Francis
In this article we discuss the problem of selecting an optimal equivalent martingale measure
for discrete-time incomplete financial markets under the criteria of maximizing the expected …
for discrete-time incomplete financial markets under the criteria of maximizing the expected …
Financial Markets in Discrete Time
JA Yan, JA Yan - Introduction to Stochastic Finance, 2018 - Springer
In this chapter, after introducing the basic concepts of financial markets, we first use the
binomial tree model to illustrate the risk-neutral valuation principle. Then we study the …
binomial tree model to illustrate the risk-neutral valuation principle. Then we study the …
Zero-level pricing method with transaction cost
SM Guu, JN Wang, SC Wu - Optimization Letters, 2012 - Springer
In this research, we extend Luenberger's (J Econ Dyn Contr 26 (10), 1613–1628, 2002)
results on zero-level pricing method to the market with transaction cost. We show that the …
results on zero-level pricing method to the market with transaction cost. We show that the …