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In this paper, we investigate an optimal stopping problem (mixed with stochastic controls) for a manager whose utility is *nonsmooth and nonconcave* over a finite time horizon. The paper aims to develop a new methodology, which is significantly different from those of mixed dynamic optimal control and stopping problems in the existing literature, so as to figure out the manager's best strategies. The problem is first reformulated into a free boundary problem with a fully *nonlinear* operator. Then, by means of a dual transformation, it is further converted into a free boundary problem with a *linear* operator, which can be consequently tackled by the classical method. Finally, using the inverse transformation, we obtain the properties of the optimal trading strategy and the optimal stopping time for the original problem.

In this paper, we investigate a continuous-time mean-variance portfolio selection model with only risky assets and its optimal Sharpe ratio in a new way. We obtain closed-form expressions for the efficient investment strategy, the efficient frontier and the optimal Sharpe ratio. Using these results, we further prove that (ⅰ) the efficient frontier with only risky assets is significantly different from the one with inclusion of a risk-free asset and (ⅱ) inclusion of a risk-free asset strictly enhances the optimal Sharpe ratio. Also, we offer an explicit expression for the enhancement of the optimal Sharpe ratio. Finally, we test our theory results using an empirical analysis based on real data of Chinese equity market. Out-of-sample analyses shed light on advantages of our theoretical results established.

This study addresses an investment problem facing a venture fund manager who has a non-smooth utility function. The theoretical model characterizes an absolute performance-based compensation package. Technically, the research methodology features stochastic control and optimal stopping by formulating a free-boundary problem with a nonlinear equation, which is transferred to a new one with a linear equation. Numerical results based on simulations are presented to better illustrate this practical investment decision mechanism.

This paper is concerned with studying an optimal multi-period asset-liability mean-variance portfolio selection with probability constraints using mean-field formulation *without embedding technique*. We strictly derive its analytical optimal strategy and efficient frontier. Numerical examples shed light on efficiency and accuracy of our method when dealing with this class of multi-period non-separable mean-variance portfolio selection problems.

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