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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

Behavioral mean-variance portfolio selection

Bi, Junna; Jin, Hanqing; Meng, Qingbin - In: European journal of operational research : EJOR 271 (2018) 2, pp. 644-663

Persistent link: https://www.econbiz.de/10011890350

A dynamic mean-variance analysis for log returns

Dai, Min; Jin, Hanqing; Kou, Steven; Xu, Yuhong - In: Management science : journal of the Institute for … 67 (2021) 2, pp. 1093-1108

Persistent link: https://www.econbiz.de/10012505370

Robo-advising : a dynamic mean-variance approach

Dai, Min; Jin, Hanqing; Kou, Steven; Xu, Yuhong - In: Digital finance : smart data analytics, investment … 3 (2021) 2, pp. 81-97

Persistent link: https://www.econbiz.de/10012615275

Optimal lockdown policy for vaccination during COVID-19 pandemic

Fu, Yuting; Jin, Hanqing; Xiang, Haitao; Wang, Ning - In: Finance research letters 45 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10014575321

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

Illiquidity, position limits, and optimal investment for mutual funds

Dai, Min; Jin, Hanqing; Liu, Hong - In: Journal of Economic Theory 146 (2011) 4, pp. 1598-1630

We study the optimal trading strategy of mutual funds that face both position limits and differential illiquidity. We provide explicit characterization of the optimal trading strategy and conduct an extensive analytical and numerical analysis of the optimal trading strategy. We show that the...

Persistent link: https://www.econbiz.de/10009249204

Continuous‐time mean–variance portfolio selection : A reinforcement learning framework

Wang, Haoran; Zhou, Xun Yu - In: Mathematical Finance 30 (2020) 4, pp. 1273-1308

Persistent link: https://www.econbiz.de/10012283208

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

Variance insurance contracts

Chi, Yichun; Zhou, Xun Yu; Zhuang, Sheng Chao - In: Insurance : mathematics and economics 115 (2024), pp. 62-82

Persistent link: https://www.econbiz.de/10015066729