Abstract This paper treats the risk-averse optimal portfolio problem with consumption in continuous time with a stochastic-volatility, jump-diffusion (SVJD) model of the underlying risky asset and the volatility. The new developments are the use of the SVJD model with double-uniform jump-amplitude distributions and time-varying market parameters for the optimal portfolio problem. Although unlim...

Retirement flexibility and inability to borrow against future labor income can significantly affect optimal consumption and investment. With voluntary retirement, there exists an optimal wealth-to-wage ratio threshold for retirement and human capital correlates negatively with the stock market even when wages have zero or slightly positive market risk exposure. Consequently, investors optimally...

In this article, we investigate risk return characteristics and diversification benefits when private equity is used as a portfolio component. We use a unique dataset describing 642 US-American portfolio companies with 3620 private equity investments. Information about precisely dated cash flows at the company level enables for the first time a cash flow equivalent and simultaneous investment s...

In this research, we proposed a new metaheuristic technique for stock portfolio multi-objective optimization employing the combination of Strength Pareto Evolutionary Algorithm (SPEA), Adaptive Neuro-Fuzzy Inference System (ANFIS) and Arbitrage Pricing Theory (APT). To generate the more precise model, ANFIS has implemented to envisage long-term movement values of the Tehran Stock Exchange (TSE)...

Mobile network sector is one of the important sectors in Malaysia which provides the network communication services to the users. The investors can get the return through the investment of the mobile network companies which are listed in Malaysia stock market. However, the investors will be exposed to the risk of loss in the investment. The mean-absolute deviation model is a portfolio optimizat...

The purpose of this paper is to develop a general framework for supply contracts in which portfolios of contracts can be analyzed and optimized. We focus on a multi-period environment with convex supply contracts, convex spot market costs and convex inventory holding costs. We characterize the optimal replenishment policy for a portfolio consisting of long-term and option contracts and show tha...

T recent financial crisis highlights the importance of market crashes and the subsequent market illiquidity for optimal portfolio selection. We propose a tractable and flexible portfolio choice model where market crashes can trigger switching into another regime with a different investment opportunity set. We characterize the optimal trading strategy in terms of coupled integro-differential equ...