Portfolio optimization with ambiguous correlation and stochastic volatilities

JP Fouque, CS Pun, HY Wong - SIAM Journal on Control and Optimization, 2016 - SIAM
In a continuous-time economy, we investigate the asset allocation problem among a risk-
free asset and two risky assets with an ambiguous correlation between the two risky assets …

Robust investment–reinsurance optimization with multiscale stochastic volatility

CS Pun, HY Wong - Insurance: Mathematics and Economics, 2015 - Elsevier
This paper investigates the investment and reinsurance problem in the presence of
stochastic volatility for an ambiguity-averse insurer (AAI) with a general concave utility …

[HTML][HTML] The elephant in the ground: managing oil and sovereign wealth

T Van den Bremer, F van der Ploeg, S Wills - European Economic Review, 2016 - Elsevier
One of the most important developments in international finance and resource economics in
the past twenty years is the rapid and widespread emergence of the $6 trillion sovereign …

Optimal portfolio under fast mean-reverting fractional stochastic environment

JP Fouque, R Hu - SIAM Journal on Financial Mathematics, 2018 - SIAM
Empirical studies indicate the existence of long-range dependence in the volatility of the
underlying asset. This feature can be captured by modeling its return and volatility using …

Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility market model

M Lin, I SenGupta - SIAM Journal on Financial Mathematics, 2021 - SIAM
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 …

Optimal trading with signals and stochastic price impact

JP Fouque, S Jaimungal, YF Saporito - SIAM Journal on Financial …, 2022 - SIAM
Trading frictions are stochastic. They are, moreover, in many instances fast mean-reverting.
Here, we study how to optimally trade in a market with stochastic price impact and study …

A learning-based strategy for portfolio selection

S Chen, L Ge - International Review of Economics & Finance, 2021 - Elsevier
Neural networks have shown exceptional performance in targeting different research areas.
In this paper, we investigate a learning-based strategy for optimal investment by using …

Equity risk and return across hidden market regimes

DA Endovitsky, VV Korotkikh, DA Khripushin - Risks, 2021 - mdpi.com
The key to understanding the dynamics of stock markets, particularly the mechanisms of
their changes, is in the concept of the market regime. It is regarded as a regular transition …

Optimal retirement under partial information

K Chen, J Jeon, HY Wong - Mathematics of Operations …, 2022 - pubsonline.informs.org
The optimal retirement decision is an optimal stopping problem when retirement is
irreversible. We investigate the optimal consumption, investment, and retirement decisions …

Optimal portfolio under fractional stochastic environment

JP Fouque, R Hu - Mathematical Finance, 2019 - Wiley Online Library
Rough stochastic volatility models have attracted a lot of attention recently, in particular for
the linear option pricing problem. In this paper, starting with power utilities, we propose to …