Fahuai Yi
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View article: Optimal consumption under a drawdown constraint over a finite horizon
Optimal consumption under a drawdown constraint over a finite horizon Open
This paper studies a finite horizon utility maximization problem on excessive consumption under a drawdown constraint. Our control problem is an extension of the one considered in Bahman et al. (2019) to the model with a finite horizon and…
View article: A consumption-investment model with state-dependent lower bound constraint on consumption
A consumption-investment model with state-dependent lower bound constraint on consumption Open
This paper studies a life-time consumption-investment problem under the Black-Scholes framework, where the consumption rate is subject to a lower bound constraint that linearly depends on her wealth. It is a stochastic control problem with…
View article: Optimal redeeming strategy of stock loans under drift uncertainty
Optimal redeeming strategy of stock loans under drift uncertainty Open
In practice, one must recognize the inevitable incompleteness of information while making decisions. In this paper, we consider the optimal redeeming problem of stock loans under a state of incomplete information presented by the uncertain…
View article: Optimal stopping investment with non-smooth utility over an infinite time horizon
Optimal stopping investment with non-smooth utility over an infinite time horizon Open
This study addresses an investment problem facing a venture fund manager who has a non-smooth utility function. The theoretical model characterizes an absolute performance-based compensation package. Technically, the research methodology f…
View article: A stochastic control problem and related free boundaries in finance
A stochastic control problem and related free boundaries in finance Open
Title on author’s file: Optimal Investment Stopping Problem with Nonsmooth Utility in Finite Horizon
View article: An optimal consumption-investment model with constraint on consumption
An optimal consumption-investment model with constraint on consumption Open
A continuous-time consumption-investment model with constraint is considered for a small investor whose decisions are the consumption rate and the allocation of wealth to a risk-free and a risky asset with logarithmic Brow- nian motion uct…
View article: Investment and consumption problem in finite time with consumption constraint
Investment and consumption problem in finite time with consumption constraint Open
In this paper, we consider an investment-consumption problem where the consumption is subject to an upper limit. This upper limit on consumption may reflect the following fact. Investors may have to finance their consumption first by using…
View article: Free boundary problem of Barenblatt equation in stochastic control
Free boundary problem of Barenblatt equation in stochastic control Open
The following type of parabolicBarenblatt equations min {$\partial_t V - \mathcal{L}_1 V, \partial_t V-\mathcal{L}_2 V$} = 0 is studied, where $\mathcal{L}_1$ and $\mathcal{L}_2$ are different elliptic operators of second…