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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
Saved in:
2
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
Saved in:
3
Backward stochastic differential equations and stochastic controls : a new perspective
Kohlmann, Michael
;
Zhou, Xun Yu
-
1999
Persistent link: https://www.econbiz.de/10001381857
Saved in:
4
The informed and uninformed agent's price of a contingent claim
Kohlmann, Michael
;
Zhou, Xun Yu
-
1999
Persistent link: https://www.econbiz.de/10001387122
Saved in:
5
Stochastic modeling and optimization : with applications in queues, finance, and supply chains
Yao, David D.
(
contributor
);
Zhang, Hanqin
(
contributor
); …
-
2003
Persistent link: https://www.econbiz.de/10001692168
Saved in:
6
Continuous-time-mean-variance portfolio selection with bankruptcy prohibition
Bielecki, Tomasz R.
;
Jin, Hanqing
;
Pliska, Stanley R.
; …
- In:
Mathematical finance : an international journal of …
15
(
2005
)
2
,
pp. 213-244
Persistent link: https://www.econbiz.de/10002725425
Saved in:
7
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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8
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
Saved in:
9
A generalized Neyman-Pearson lemma for g-probabilities
Ji, Shaolin
;
Zhou, Xun Yu
- In:
Probability theory and related fields : continuation of …
148
(
2010
)
3/4
,
pp. 645-669
Persistent link: https://www.econbiz.de/10008649933
Saved in:
10
Greed, leverage, and potential losses : a prospect theory perspective
Jin, Hanqing
;
Zhou, Xun Yu
- In:
Mathematical finance : an international journal of …
23
(
2013
)
1
,
pp. 122-142
Persistent link: https://www.econbiz.de/10009712555
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