Browsing University of Waterloo by Subject "utility maximization"
Now showing items 1-3 of 3
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BSDE Approach to Utility Maximization with Square-Root Factor Processes
(Elsevier, 2020-03)We consider the utility-based portfolio selection problem in a continuous-time setting. We assume the market price of risk depends on a stochastic factor that satisfies an affine-form, square-root, Markovian model. This ... -
Dynamic Resource Provisioning and Scheduling in SDN/NFV-Enabled Core Networks
(University of Waterloo, 2020-12-17)The service-oriented fifth-generation (5G) core networks are featured by customized network services with differentiated quality-of-service (QoS) requirements, which can be provisioned through network slicing enabled by ... -
Optimal Investing Strategies for Participating Contracts
(Elsevier, 2017-03)Participating contracts are popular insurance policies, in which the payoff to a policyholder is linked to the performance of a portfolio managed by the insurer. We consider the portfolio selection problem of an insurer ...