The primary goal of this research is to determine whether purchasing a benchmark
collection can yield inferior risk/return attributes compared to using the theory of modern …

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 …

This paper discusses an uncertain multi-period portfolio selection problem in the situation
where the future security return rates are given by experts' estimations instead of historical …

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 …

This study proposes an advanced model-free deep reinforcement learning (DRL) framework
to construct optimal portfolio strategies in dynamic, complex, and large-dimensional financial …

Investigating default risk in pricing options holds significant practical importance, as nearly
all market participants and institutions face credit risk. Additionally, economic cycles and …

This paper studies mean–variance portfolio selection problem subject to proportional
transaction costs and no-shorting constraint. We do not impose any distributional …

In this paper we present new theoretical and practical insights into the method of dollar cost
averaging (DCA) and averaging-style investment timing strategies, with a formal analysis of …

We study a dynamic mean–variance portfolio selection problem with return predictability and
trading frictions from price impact. Applying mean-field type control theory, we provide a …

The study aims to develop a dynamic model for the management of a strategic investment
portfolio, taking into account the impact of crisis processes on asset value. A mathematical …