14 research outputs found
Applications of Stochastic Control to Portfolio Selection Problems
No full textPortfolio selection is an important problem both in academia and in practice. Due to its significance, it has received great attention and facilitated a large amount of research. This thesis is devoted to structuring optimal portfolios using different criteria.
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. In Chapter 2, we consider the portfolio selection problem of an insurer that offers participating contracts and has an S-shaped utility function. Applying the martingale approach, closed-form solutions are obtained. The resulting optimal strategies are compared with two portfolio insurance hedging strategies, e.g. Constant Proportion Portfolio Insurance strategy and Option Based Portfolio Insurance strategy. We also study numerical solutions of the portfolio selection problem with constraints on the portfolio weights.
In Chapter 3, we consider the portfolio selection problem of maximizing a performance measure in a continuous-time diffusion model. The performance measure is the ratio of the overperformance to the underperformance of a portfolio relative to a benchmark. Following a strategy from fractional programming, we analyze the problem by solving a family of related problems, where the objective functions are the numerator of the original problem minus the denominator multiplied by a penalty parameter. These auxiliary problems can be solved using the martingale method for stochastic control. The existence of a solution is discussed in a general setting and explicit solutions are derived when both the reward and the penalty functions are power functions.
In Chapter 4, we consider the mean-risk portfolio selection problem of optimizing the expectile risk measure in a continuous-time diffusion model. Due to the lack of an explicit form for expectiles and the close relationship with the Omega measure, we propose an alternative optimization problem with the Omega measure as an objective and show the equivalence between the two problems. After showing the solution for the mean-expectile problem is not attainable but the value function is finite, we modify the problem with an upper bound constraint imposed on the terminal wealth and obtain the solution via the Lagrangian duality method and pointwise optimization technique. The global expectile minimizing portfolio and efficient frontier are also considered in our analysis.
In Chapter 5, 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 financial market framework includes the classical geometric Brownian motion, the constant elasticity of variance (CEV) model and the Heston's model as special cases. Adopting the Backward Stochastic Differential Equation (BSDE) approach, we obtain the closed-form solutions for power, logarithm, or exponential utility functions, respectively.
Concluding remarks and several potential topics for further research are presented in Chapter 6
BSDE Approach to Utility Maximization with Square-Root Factor Processes
No full textThe final publication is available at Elsevier via https://doi.org/10.1016/j.orl.2020.01.001. © 2020. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/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 financial market framework includes the classical geometric Brownian motion, CEV model, and Heston’s model as special cases. Adopting the BSDE approach, we obtain closed-form solutions for the optimal portfolio strategies and value functions for the logarithmic, power, and exponential utility functions
Optimal investment strategies for participating contracts
No full textThe final publication is available at Elsevier via https://doi.org/10.1016/j.insmatheco.2017.02.001. © 2017. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/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 that offers participating contracts and has an S-shaped utility function. Applying the martingale approach, closed-form solutions are obtained. The resulting optimal strategies are compared with portfolio insurance hedging strategies (CPPI and OBPI). We also study numerical solutions of the portfolio selection problem with constraints on the portfolio weights
Mean-Expectile Portfolio Selection
No full textThis is a post-peer-review, pre-copyedit version of an article published in Applied Mathematics & Optimization. The final authenticated version is available online at: https://doi.org/10.1007/s00245-019-09601-1.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 maximization of the Omega measure, and show the equivalence between the two problems. After showing that the solution for the mean-expectile problem is not attainable but that the value function is finite, we modify the problem by introducing a bound on terminal wealth and obtain the solution by Lagrangian duality. The global expectile minimizing portfolio and efficient frontier with a terminal wealth bound are also discussed.NSERC, RGPIN-2017-04220 || NSERC, RGPIN-2016-04001
Nanoparticle trends and hotspots in lung cancer diagnosis from 2006-2023: a bibliometric analysis
No full textBackgroundLung cancer possesses the highest incidence and mortality rates among malignancies globally. Despite substantial advancements in oncology, it is frequently diagnosed at an advanced stage, resulting in a poor prognosis. Over recent decades, the swift progress of nanotechnology has precipitated the extensive utilization of nanomaterials as carriers in cancer diagnosis and therapy. The deployment of nanoparticles as an innovative diagnostic strategy aspires to enable the earlier detection of lung cancer, thereby permitting earlier intervention and enhancing prognosis. This study endeavors to deepen our understanding of this domain through a comprehensive analysis employing bibliometric tools.MethodRelated articles were retrieved from the Web of Science Core Collection from January 1st, 2006, to December 14st, 2023. Thereaf CiteSpace, VOSviewer and the online platform of bibliometrics (http://bibliometric.com/) were utilized to visually analyze Author/Country/Institutions/Cited Journals/Keyword, et al.ResultsA total of 966 articles were retrieved for this study. The analysis unveils a progressive increase in annual publications within this field, with China at the forefront in publication volume, followed by the United States and India. Moreover, Chinese research institutions, notably the Chinese Academy of Sciences and Shanghai Jiao Tong University, prevail in publication output. Upon exclusion of irrelevant search terms, keywords clustering analysis highlights that “biomarkers”, “sensors”, “gold nanoparticles”, and “silver nanoparticles” are predominant research focuses.ConclusionThis bibliometric study furnishes a quantitative perspective on the extant literature, serving scholars in related fields. Furthermore, it anticipates future research trend concerning nanoparticles and lung cancer diagnosis, thereby aiding in the formulation of project planning and the design of experiments
Planning Strategies for Increasing the Occupancy Rate of Green Open Space Based on Urban Geographic Data in Macau: An Investigation of Ultra-High-Density Cities
No full textUrban green space can effectively optimize the urban landscape and environment and provide residents with space for daily leisure and recreational activities. In order to realize the green development of Macau, this paper takes the Macau Special Administrative Region (SAR) as an example, uses the green open space occupancy rate (GOSOR) to measure the level of green open space in Macau, and researches the planning positioning of Macau City’s green development, the layout mode of urban public open space, and the integration and optimization of the space in Largo of high-density neighborhoods, so as to explore the planning paradigm of Macau’s green development. In addition, the research data show that the per capita green area of Macau Peninsula is on the low side and extremely unbalanced, and there is a disconnection between some of the large-scale green patches on Macau Outlying Island; therefore, this paper proposes that the planning layout mode of “green veins connecting green patches” is suitable for Macau Peninsula and that the planning layout mode of “greenways embedded in jade” is suitable for Macau Outlying Island. On the other hand, in order to improve the problem of poor living conditions in the high-density city of Macau, the study proposes to make use of the unutilized Macau Largo space and carry out the optimization and transformation of the Largo space from “gray to green”, so as to release a large amount of green open space and enhance the GOSOR value of the high-density street area of Macau Peninsula
Urban Spatial Naturalness Degree in the Planning of Ultra-High-Density Cities: The Case of Urban Green Open Spaces in Macau
No full textThis study deeply examines the livable environment in high-density cities like Macau, focusing on urban green spaces. The study introduces the “urban spatial naturalness degree” indicator, exploring its application with urban population growth and green space expansion. The research utilizes the planning indicator of “urban spatial naturalness degree”, and then explores the application paradigm of matching increments between urban population growth and green open space and a bottom-line planning indicator suitable for Macau. Among them, the “USND” indicator is defined as “the visual perception rate of blue and green natural elements in the three-dimensional space of urban land”, which is specifically expressed as “the average function of the occupation rate of urban green open space and the visibility rate of blue–green space of main street scenes”. Based on this, this paper estimates the incremental planning indicators of green open space in Macau and various urban areas during the implementation of the Master Plan of Macau (2020–2040). The results show the following: (1) The study found that the land increment in green open space in Macau basically matches the potential of reserve resources. (2) For Class I and Class II urban areas in Macau, the USND value is estimated to be 42.96% and 32.62% in 2040, respectively. These values are expected to reach the international excellent level. (3) For Class III and Class IV urban areas, the USND values could reach 20.14% and 15.14%, respectively, which are considered to be at the international middle level in 2040
VALUE OF PSYCHOLOGICAL INTERVENTION IN THE CLINICAL DIAGNOSIS OF PELVIC FLOOR DYSFUNCTION
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