In this paper we investigate an optimal investment problem under loss aversion (S-shaped
utility) and with trading and Value-at-Risk (VaR) constraints faced by a defined contribution (…

In this paper we investigate an optimal investment problem under short-selling and portfolio
insurance constraints faced by a defined contribution pension fund manager who is loss …

In this paper we prove that there exists a smooth classical solution to the HJB equation for a
large class of constrained problems with utility functions that are not necessarily …

Necessary conditions of optimality are derived for optimal control problems with pathwise
state constraints, in which the dynamic constraint is modelled as a differential inclusion. The …

In this paper we aim to address two questions faced by a long-term investor with a power-type
utility at high levels of wealth: one is whether the turnpike property still holds for a general …

We propose a factor contagion model for correlated defaults. The model covers the
heterogeneous conditionally independent portfolio and the infectious default portfolio as special …

In this paper we discuss the basket options valuation for a jump–diffusion model. The underlying
asset prices follow some correlated local volatility diffusion processes with systematic …

One of the central issues in credit risk measurement and management is modeling and
predicting correlated defaults. In this paper we introduce a novel model to investigate the …

This paper provides necessary conditions of optimality for a general variational problem for
which the dynamic constraint is a differential inclusion with a possibly nonconvex right side. …

In this paper, we consider the optimal dividend payment strategy for an insurance company
that has two collaborating business lines. The surpluses of the business lines are modeled …