no code implementations • 18 May 2024 • Yunfei Peng, Pengyu Wei, Wei Wei
We validate the efficacy of the DPM through numerical tests conducted on a high-dimensional optimal stopping model in the area of American option pricing.
no code implementations • 10 Nov 2022 • Jing Peng, Pengyu Wei, Zuo Quan Xu
This paper studies a continuous-time optimal portfolio selection problem in the complete market for a behavioral investor whose preference is of the prospect type with probability distortion.
no code implementations • 29 Dec 2021 • Pengyu Wei, Zuo Quan Xu
This paper studies a mean-risk portfolio choice problem for log-returns in a continuous-time, complete market.