Similar Search Results

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

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

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

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 investment, heterogeneous consumption, and best time for retirement

Jang, Hyun Jin; Xu, Zuo Quan; Zheng, Harry - In: Operations research 72 (2024) 2, pp. 832-847

Persistent link: https://www.econbiz.de/10014520988

Dynamic optimal reinsurance and dividend payout in finite time horizon

Guan, Chonghu; Xu, Zuo Quan; Zhou, Rui - In: Mathematics of operations research 48 (2023) 1, pp. 544-568

Persistent link: https://www.econbiz.de/10014312571

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

Mean-variance portfolio optimization with state-dependent risk aversion

Björk, Tomas; Murgoci, Agatha; Zhou, Xun Yu - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10010256230

Quantile Optimization Under Derivative Constraint

Xu, Zuo Quan - 2018

This paper studies a new type of quantile optimization problems arising from insurance contract design models. This type of optimization problems is characterized by a constraint of infinity-dimension, that is, the derivatives of the decision quantile functions are bounded. Such a constraint...

Persistent link: https://www.econbiz.de/10012925721