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Martingale measure method for expected utility maximization in discrete-time incomplete markets

Li, Ping; Xia, Jianming; Yan, Jia-an - In: Annals of economics and finance 2 (2001) 2, pp. 445-465

Persistent link: https://www.econbiz.de/10001732290

Economic evaluation of biomass-based energy systems with CO 2, capture and sequestration in kraft pulp mills : the influence of the price of CO 2 emission quota

Möllersten, K.; Yan, Jia-an - In: World resource review 13 (2001) 4, pp. 509-525

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Growth optimal portfolio in a market driven by a jump-diffusion-like process or a Lévy process

Yan, Jia-an; Zhang, Qiang; Zhang, Shuguang - In: Annals of economics and finance 1 (2000) 1, pp. 101-116

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Classical mean-variance model revisited : pseudo efficiency

Cui, Xiangyu; Li, Duan; Yan, Jia-an - In: Journal of the Operational Research Society : OR 66 (2015) 10, pp. 1646-1655

Persistent link: https://www.econbiz.de/10011417708

Optimal insurance design under rank-dependent expected utility

Bernard, Carole; He, Xue Dong; Yan, Jia-an; Zhou, Xun Yu - In: Mathematical finance : an international journal of … 25 (2015) 1, pp. 154-186

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Classical Mean Variance Model Revisited : Pseudo Efficiency

Yan, Jia-an - 2009

Since Markowitz published his seminal work on mean-variance portfolio selection in 1952, almost all literature in the past half century adhere their investigation to a binding budget spending assumption on this classical investment issue. In the mean-variance world for a market of all risky...

Persistent link: https://www.econbiz.de/10013154329