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 …

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 …

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 …

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 …

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 …

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 …

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 …

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 …

The optimal retirement decision is an optimal stopping problem when retirement is
irreversible. We investigate the optimal consumption, investment, and retirement decisions …

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 …