Now showing items 1-2 of 2

    • 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 ...
    • 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 ...


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