We consider a financial market with a stock exposed to a counterparty risk inducing a drop in the price, and which can still be traded after this default time. We use a default-density modeling approach, and address in this incomplete market context the expected utility maximization from terminal wealth. We show how this problem can be suitably decomposed in two optimization problems in complet...

We consider a financial market with a stock exposed to a counterparty risk inducing a drop in the price, and which can still be traded after this default time. We use a default-density modeling approach, and address in this incomplete market context the expected utility maximization from terminal wealth. We show how this problem can be suitably decomposed in two optimization problems in complet...

Information asymmetry in stock market can increase the risk of investment which in turn increases the capital cost of firms. Bhattacharya (1979) proposed a hypothesis that states dividend can act as a powerful signal in order to solve information asymmetry problem. We measured information asymmetry by lack of earnings transparency. Therefore we examine the effect of earnings transparency on cap...

Optimization of the product portfolio has been recognized as a critical problem in industry, management, economy and so on. It aims at the selection of an optimal mix of the products to offer in the target market. As a probability function, reliability is an essential objective of the problem which linear models often fail to evaluate it. Here, we develop a multiobjective integer nonlinear cons...

We investigate the optimal strategy over a finite time horizon for a portfolio of stock and bond and a derivative in an multiplicative Markovian market model with transaction costs (friction). The optimization problem is solved by a Hamilton-Bellman-Jacobi equation, which by the verification theorem has well-behaved solutions if certain conditions on a potential are satisfied. In the case at ha...

Portfolio theory assumes that investors accept risk. This means thatin the equal rate of return on the two assets, the assets were chosenthat have a lower risk level. Modern portfolio theory is accepted byinvestors who believe that they are not cope with the market. Sothey keep many different types of securities in order to access theoptimum efficiency rate that is close to the rate of return o...

In the traditional portfolio model, investors calculate the expected return of assets and the covariance matrix for optimal asset allocation. This paper divides market sentiment period into three states and selectes the securities in the Chinese stock market to construct portfolios. We implement both the Fama-French five-factor model and the robust median covariance matrix approach for predicti...