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Investment under duality risk measure

Xu, Zuo Quan - In: European journal of operational research : EJOR 239 (2014) 3, pp. 786-793

Persistent link: https://www.econbiz.de/10010411499

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

Moral-hazard-free insurance : mean-variance premium principle and rank-dependent utility theory

Xu, Zuo Quan - In: Scandinavian actuarial journal 2023 (2023) 3, pp. 269-289

Persistent link: https://www.econbiz.de/10014336334

Optimal Investment, Heterogeneous Consumption and Best Time for Retirement

Jang, Hyun Jin; Xu, Zuo Quan; Zheng, Harry - 2022

This paper studies an optimal investment and consumption problem with heterogeneous consumption of basic and luxury goods, together with the choice of time for retirement. The utility for luxury goods is not necessarily a concave function. The optimal heterogeneous consumption strategies for a...

Persistent link: https://www.econbiz.de/10014083056

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

A convex stochastic optimization problem arising from portfolio selection

Jin, Hanqing; Xu, Zuo Quan; Zhou, Xun Yu - In: Mathematical finance : an international journal of … 18 (2008) 1, pp. 171-183

Persistent link: https://www.econbiz.de/10003643506

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

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

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

Optimal redeeming strategy of stock loans with finite maturity

Dai, Min; Xu, Zuo Quan - In: Mathematical finance : an international journal of … 21 (2011) 4, pp. 775-793

Persistent link: https://www.econbiz.de/10009312211