Browsing Waterloo Research by Author "Lin, Hongcan"

Now showing items 1-3 of 3

BSDE Approach to Utility Maximization with Square-Root Factor Processes

Lin, Hongcan; Saunders, David; Weng, Chengguo (Elsevier, 2020-03)

We consider the utility-based portfolio selection problem in a continuous-time setting. We assume the market price of risk depends on a stochastic factor that satisfies an affine-form, square-root, Markovian model. This ...
Mean-Expectile Portfolio Selection

Lin, Hongcan; Saunders, David; Weng, Chengguo (Springer, 2021)

We consider a mean-expectile portfolio selection problem in a continuous-time diffusion model. We exploit the close relationship between expectiles and the Omega performance measure to reformulate the problem as the ...
Optimal Investing Strategies for Participating Contracts

Lin, Hongcan; Saunders, David; Weng, Chengguo (Elsevier, 2017-03)

Participating contracts are popular insurance policies, in which the payoff to a policyholder is linked to the performance of a portfolio managed by the insurer. We consider the portfolio selection problem of an insurer ...