We consider the problem of maximizing terminal utility in a model where asset prices are
driven by Wiener processes, but where the various rates of returns are allowed to be …

We study a problem of non-concave utility maximization under a fair pricing constraint. The
framework finds many applications in, for example, the optimal design of managerial …

We investigate in this paper dynamic mean-downside risk portfolio optimization problems in
continuous-time, where the downside risk measures can be either the lower-partial moments …

This paper investigates optimal portfolio strategies in a market with partial information on the
drift. The drift is modelled as a function of a continuous-time Markov chain with finitely many …

In a market characterized by partial information, we delve into the influence of
overconfidence on individual optimal consumption and portfolio decisions. To address this …

We consider a stock market model where prices satisfy a stochastic differential equation with
a stochastic drift process. The investor's objective is to maximize the expected utility of …

We study a utility maximization problem under multiple Value-at-Risk (VaR)-type constraints.
The optimization framework is particularly important for financial institutions which have to …

We present and solve an optimal asset allocation problem under a weighted limited
expected loss (WLEL) constraint. This formulation encompasses the risk management …

We study optimal investment strategies that maximize expected utility from consumption and
terminal wealth in a pure-jump asset price model with Markov-modulated (regime switching) …

We present a unified approach for partial information optimal investment and consumption
problems in a non-Markovian Itô process market. The stochastic local mean rate of return …