In this article, we develop a novel dynamic model to study the role and effect of relative
performance evaluation (RPE) in a delegated portfolio management framework, where a …

A continuous time mean variance (MV) problem optimizes the biobjective criteria
(\mathcalV,\mathcalE), representing variance \mathcalV and expected value \mathcalE …

This paper proposes an optimal dynamic strategy for hedging longevity risk in a discrete-
time setting. Our proposed hedging strategy relies on standardized mortality-linked …

The manner of allocating resources and choosing the type of investment, considering the
nature of activities of social security organization, which has a huge responsibility and …

Recent developments in machine learning have allowed for the solution of high-dimensional
partial differential equations overcoming the curse of dimensionality. In our work, we utilize …

Commodity prices have been more volatile in recent years. The volatility of prices widely
impacts throughout the majority of stakeholder in commodity supply chains. Natural Rubber …

This paper investigates an optimal investment problem for an open-end fund with dynamic
flows. The accumulated fund inflow and outflow processes are modeled by two independent …

N mutual funds compete for fund flows based on relative performance over their average
returns, by choosing between an idiosyncratic and a common risky investment opportunities …

Problems combining games and controls for multiple players become widely studied due to
the complexity of the world and the interactions among populations. In this thesis, we …

This research is devoted to study equilibrium strategies in a game theoretical framework for
the mean-variance problem. The thesis explores the investment behaviour and interlinks …