Portfolio Optimization Problem with Delay under Cox-Ingersoll-Ross Model

Chunxiang, A; Shao, Yi

doi:10.4236/jmf.2017.73037

Cited by 6 publications

(2 citation statements)

References 26 publications

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“…Xin L introduced the blockchain technology of fintech into the field of industrial chain finance and applied it to the practice of industrial chain finance [6]. Chunxiang A used fintech to study the supply chain financial credit risk of financial companies based on mortgage and reputation [7]. Fanari M analyzed the measures taken by a company to comprehensively carry out industrial chain finance, and also put forward suggestions on how to further develop industrial chain finance by using fintech to broaden the scope of industrial chain business [8].…”

Section: Introductionmentioning

confidence: 99%

Development of Financial Ecosystem of Industrial Chain Supported by Fintech in Big Data Environment

2023

IJBDIT

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With the gradual improvement of SME financing strategies, the unique advantages of industrial chain finance in risk management are increasingly prominent. As the core of modern economy, finance is the lifeline of the real economy. Through the innovation of fintech, the independent research ability of core technology has been enhanced, and the quality of financial services and risk prevention ability have been improved. This paper analyzed the financial layout of M enterprise's industrial chain, and combined the application of fintech to build a scientific and targeted credit evaluation system. It can not only solve the financing problems of small and medium-sized enterprises, but also improve the overall quality of small and medium-sized enterprises. It can also make other enterprises realize their advantages and disadvantages, so as to provide useful reference for the development of other enterprises. In this paper, the analytic hierarchy process was used to establish the evaluation model. From the comprehensive perspective of M Company's credit rating, the credit score was 85.68, which was good AA. Therefore, the research experiment in this paper can provide support for SMEs' financing and promote the development of national economy from the perspective of dominant enterprises.

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Section: Introductionmentioning

confidence: 99%

Development of Financial Ecosystem of Industrial Chain Supported by Fintech in Big Data Environment

2023

IJBDIT

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“…For example, A and Li [1] considered an optimal investment and excess-ofloss reinsurance problem with delay for an insurer under Heston's stochastic volatility (SV) model. A and Shao [2] discussed the portfolio optimization problem with delay under the Cox-Ingersoll-Ross (CIR) model. Shen and Zeng [21] developed an optimal investment and reinsurance problem with bounded delay under the mean-variance criterion using a maximum principle approach.…”

Section: Introductionmentioning

confidence: 99%

Optimal Investment and Consumption With Stochastic Factor and Delay

LI¹,

Mi²

2019

ANZIAM J.

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We analyse an optimal portfolio and consumption problem with stochastic factor and delay over a finite time horizon. The financial market includes a risk-free asset, a risky asset and a stochastic factor. The price process of the risky asset is modelled as a stochastic differential delay equation whose coefficients vary according to the stochastic factor; the drift also depends on its historical performance. Employing the stochastic dynamic programming approach, we establish the associated Hamilton–Jacobi–Bellman equation. Then we solve the optimal investment and consumption strategies for the power utility function. We also consider a special case in which the price process of the stochastic factor degenerates into a Cox–Ingersoll–Ross model. Finally, the effects of the delay variable on the optimal strategies are discussed and some numerical examples are presented to illustrate the results.

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Robust Optimal Investment Problem with Delay under Heston’s Model

Zhao

2021

Methodol Comput Appl Probab

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This paper considers a robust optimal portfolio problem under Heston model in which the risky asset price is related to the historical performance. The finance market includes a riskless asset and a risky asset whose price is controlled by a stochastic delay equation. The objective is to choose the investment strategy to maximize the minimal expected utility of terminal wealth. By employing dynamic programming principle and Hamilton-Jacobin-Bellman (HJB) equation, we obtain the specific expression of the optimal control and the explicit solution of the corresponding HJB equation. Besides, a verification theorem is provided to ensure the value function is indeed the solution of the HJB equation. Finally, we use numerical examples to illustrate the relationship between the optimal strategy and parameters.

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Portfolio Optimization Problem with Delay under Cox-Ingersoll-Ross Model

Cited by 6 publications

References 26 publications

Development of Financial Ecosystem of Industrial Chain Supported by Fintech in Big Data Environment

Development of Financial Ecosystem of Industrial Chain Supported by Fintech in Big Data Environment

Optimal Investment and Consumption With Stochastic Factor and Delay

Robust Optimal Investment Problem with Delay under Heston’s Model

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