This paper presents a method for assessing skill from video, applicable to a variety of tasks,
ranging from surgery to drawing and rolling pizza dough. We formulate the problem as …

This paper considers a portfolio management problem of Merton's type in which the risky
asset return is related to the return history. The problem is modeled by a stochastic system …

We consider a portfolio optimization problem under stochastic volatility as well as stochastic
interest rate on an infinite time horizon. It is assumed that risky asset prices follow geometric …

In this paper, we consider the portfolio optimization problem in a financial market under a
general utility function. Empirical results suggest that if a significant market fluctuation …

We consider a portfolio optimization problem in a defaultable market. The investor can
dynamically choose a consumption rate and allocate his/her wealth among three financial …

We investigate an optimal asset allocation problem in a Markovian regime-switching
financial market with stochastic interest rate. The market has three investment opportunities …

We consider a stochastic portfolio optimization model in which the returns of risky asset
depend on its past performance. The price of the risky asset is described by a stochastic …

In this article, we consider a portfolio optimization problem of the Merton's type with complete
memory over a finite time horizon. The problem is formulated as a stochastic control problem …

This paper derives the optimal debt ratio and dividend payment strategies for an insurance
company. Taking into account the impact of reinsurance policies and claims from the credit …

In this paper we consider a portfolio optimization problem of the Merton's type over an
infinite time horizon. Unlike the classical Markov model, we consider a system with delays …