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Zero-sum stochastic games with the average-value-at-risk criterion

Liu, Qiuli; Ching, Wai Ki; Guo, Xianping - In: Top : an official journal of the Spanish Society of … 31 (2023) 3, pp. 618-647

Persistent link: https://www.econbiz.de/10014384732

Nonzero-sum constrained discrete-time Markov games : the case of unbounded costs

Zhang, Wenzhao; Huang, Yonghui; Guo, Xianping - In: Top : transactions in operations research 22 (2014) 3, pp. 1074-1102

Persistent link: https://www.econbiz.de/10010437086

Nonzero-sum stochastic games with probability criteria

Huang, Xiangxiang; Guo, Xianping - In: Dynamic games and applications : DGA 10 (2020) 2, pp. 509-527

Persistent link: https://www.econbiz.de/10012623862

Zero-sum infinite-horizon discounted piecewise deterministic Markov games

Huang, Yonghui; Lian, Zhaotong; Guo, Xianping - In: Mathematical methods of operations research : ZOR 97 (2023) 2, pp. 179-205

Persistent link: https://www.econbiz.de/10014334516

Coordination contract design for the newsvendor model

Li, Linqiu; Liu, Ke - In: European journal of operational research : EJOR 283 (2020) 1, pp. 380-389

Persistent link: https://www.econbiz.de/10012161998

Mean-Variance Portfolio Selection with Partial Information : A Game-theoretic Formulation

Li, Lin; Liu, Ke; Gu, Jia-Wen - 2022

This paper studies the mean-variance portfolio selection under the assumption that the market state is modulated by a hidden Markov chain which is unobservable to investors. We employ a game-theoretic formulation to address the time-inconsistency arising in mean-variance analysis for portfolio...

Persistent link: https://www.econbiz.de/10013405557