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Your search keyword '"Deng, Guohe"' showing total 24 results
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24 results on '"Deng, Guohe"'

3. Optimal periodic dividends with penalty payments under a diffusion model.

Author

Yang, Long and Deng, Guohe

Subjects
*EXPONENTIAL functions, *DIVIDENDS, *BANKRUPTCY, *PAYMENT
Abstract

In this work, we examine the optimal periodic dividend problem with penalty payments for a diffusion model, where dividends are only paid at Poisson arrival times. Moreover, we assume that (observed) ruin or bankruptcy does not occur even if the surplus is negative, but the penalty payments happen. The goal is to seek an optimal periodic dividend strategy to maximize the expectation of the difference between the present value of dividends and penalty payments. We demonstrate that the optimal strategy is a periodic barrier strategy. For the exponential penalty function, the optimal periodic barrier and the explicit expression for the value function are determined. Several numerical instances are also presented. [ABSTRACT FROM AUTHOR]

Published
2024
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18. Optimal portfolio for multi-asset in a jump-diffusion model with time-varying market structure

Author

Deng Guohe

Subjects
Rate of return on a portfolio, Computer Science::Computational Engineering, Finance, and Science, Investment strategy, Risk aversion, Merton's portfolio problem, Replicating portfolio, Mathematics::Optimization and Control, Economics, Econometrics, Portfolio, Portfolio optimization, Market neutral
Abstract

An optimal portfolio problem for an investor who can invest his wealth in stock, bond and cash account is considered in a jump-diffusion model with time-varying market structure, where the short nominal interest rates, the inflation uncertainty and the excess return of stock are all assumed to follow mean-reverting stochastic processes. Guided by stochastic dynamic programming principle, we gain a Hamilton-Jacobi-Bellman(HJB) equation which corresponds to the optimal portfolio strategies. In addition, we determine the portfolio choice, and illustrate the behaviors of investment strategy to stock by examining the impacts of jumps, risk aversion parameters and different investment time horizons with numerical examples in the case of constant relative risk aversion (CRRA) utility function and the jump-sizes following double exponential distribution.

Published
2008

24. Valuation for an American Continuous-Installment Put Option on Bond under Vasicek Interest Rate Model

Author

Huang, Guoan, Deng, Guohe, and Huang, Lihong

Abstract

The valuation for an American continuous-installment put option on zero-coupon bond is considered by Kim's equations under a single factor model of the short-term interest rate, which follows the famous Vasicek model. In term of the price of this option, integral representations of both the optimal stopping and exercise boundaries are derived. A numerical method is used to approximate the optimal stopping and exercise boundaries by quadrature formulas. Numerical results and discussions are provided.

Published
2009
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