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Robust utility maximisation with intractable claims
Li, Yunhong
;
Xu, Zuo Quan
;
Zhou, Xun Yu
- In:
Finance and stochastics
27
(
2023
)
4
,
pp. 985-1015
Persistent link: https://www.econbiz.de/10014426411
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Dual utilities on risk aggregation under dependence uncertainty
Wang, Ruodu
;
Xu, Zuo Quan
;
Zhou, Xun Yu
- In:
Finance and stochastics
23
(
2019
)
4
,
pp. 1025-1048
Persistent link: https://www.econbiz.de/10012114687
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3
Consistent investment of sophisticated rank‐dependent utility agents in continuous time
Hu, Ying
;
Jin, Hanqing
;
Zhou, Xun Yu
- In:
Mathematical Finance
31
(
2021
)
3
,
pp. 1056-1095
Persistent link: https://www.econbiz.de/10012636227
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Optimal insurance under rank-dependent utility and incentive compatibility
Xu, Zuo Quan
;
Zhou, Xun Yu
;
Zhuang, Sheng Chao
- In:
Mathematical Finance
29
(
2018
)
2
,
pp. 659-692
Persistent link: https://www.econbiz.de/10012095157
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5
Arrow-Debreu equilibria for rank-dependent utilities with heterogeneous probability weighting
Jin, Hanqing
;
Xia, Jianming
;
Zhou, Xun Yu
- In:
Mathematical Finance
29
(
2018
)
3
,
pp. 898-927
Persistent link: https://www.econbiz.de/10012095168
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A note on the quantile formulation
Xu, Zuo Quan
- In:
Mathematical finance : an international journal of …
26
(
2016
)
3
,
pp. 589-601
Persistent link: https://www.econbiz.de/10011583612
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Optimal insurance design with a bonus
Li, Yongwu
;
Xu, Zuo Quan
- In:
Insurance / Mathematics & economics
77
(
2017
),
pp. 111-118
Persistent link: https://www.econbiz.de/10011783925
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Continuous-time Markowitz's model with constraints on wealth and portfolio
Li, Xun
;
Xu, Zuo Quan
- In:
Operations research letters
44
(
2016
)
6
,
pp. 729-736
Persistent link: https://www.econbiz.de/10011622222
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9
Optimal insurance in the presence of reinsurance
Zhuang, Sheng Chao
;
Boonen, Tim J.
;
Ken Seng Tan
;
Xu, …
- In:
Scandinavian actuarial journal
(
2017
)
6
,
pp. 535-554
Persistent link: https://www.econbiz.de/10011848458
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10
Mean-variance portfolio selection under partial information with drift uncertainty
Xiong, Jie
;
Xu, Zuo Quan
;
Zheng, Jiayu
- In:
Quantitative finance
21
(
2021
)
9
,
pp. 1461-1473
Persistent link: https://www.econbiz.de/10012624147
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