We study the portfolio selection problem of an investor who can optimally exert costly effort for more income. The possibility of generating more income, if necessary, increases the risk-taking appetite of the investor. We find the optimal allocation to the risky security as a proportion of financial wealth and as a proportion of the total wealth, defined as the combination of the financial wea...

An incomplete financial market is considered with a risky asset and a bond. The risky asset price is a pure jump process whose dynamics depend on a jump-diffusion stochastic factor describing the activity of other markets, macroeconomics factors or microstructure rules that drive the market. With a stochastic control approach, maximization of the expected utility of terminal wealth is discussed...

We examine the unique nature of agency problems within publicly traded family firms by investigating the earnings management decision of dominant family owners relative to nonfamily. To do so, we draw upon literature demonstrating that family owners are loss averse with respect to the family’s socioemotional wealth (SEW), or the affective endowment derived from firm ownership and control. Our t...

We consider in this paper the mean-variance formulation in multiperiod portfolio selection under no-shorting constraint. Recognizing the structure of a piecewise quadratic value function, we prove that the optimal portfolio policy is piecewise linear with respect to the current wealth level, and derive the semi-analytical expression of the piecewise quadratic value function. One prominent featu...

In this paper, first a precise mathematical model is obtained for four competing or cooperating companies’ stock prices and then the optimal buy/sell signals are ascertained for five different agents which are trading in a virtual market and are trying to maximize their wealth over 1 trading year period. The model is so that gives a good prediction of the next 30th day stock prices. The compani...

This paper mainly studies the optimal investment problem of defined contribution (DC) pension under self-protection and minimum security. First, we apply [see formula in PDF] theorem to obtain differential equation real stock price after discounting inflation. Then, constraint external guarantee DC terminal wealth, is introduced study maximization expected utility wealth at retirement time any ...