Although leveraged exchange-traded funds (ETFs) are popular products for retail investors, how to hedge them poses a great challenge to financial institutions. We develop an optimal rebalancing (he…
The problems of nonconcave utility maximization appear in many areas of finance and economics, such as in behavioral economics, incentive schemes, aspiration utility, and goal-reaching problems. Ex…
We establish a stochastic representation for a class of nonlocal parabolic terminal–boundary value problems, whose terminal and boundary conditions depend on the solution in the interior domain; …
This is a discussion on the paper "Text Selection" by Kelly et al. (2021).