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Generalized additive partial linear models with high dimensional covariates

Lian, Heng; Liang, Hua - In: Econometric theory 29 (2013) 6, pp. 1136-1161

Persistent link: https://www.econbiz.de/10010343732

Advances in risk management : optimum investment portfolios in tanker shipping

Meng, Bin; Chen, Shuiyang; Kuang, Haibo; Haralambides, … - In: Maritime economics & logistics 26 (2024) 4, pp. 572-591

Persistent link: https://www.econbiz.de/10015193060

Mean-variance portfolio selection under a constant elasticity of variance model

Shen, Yang; Zhang, Xin; Siu, Tak Kuen - In: Operations research letters 42 (2014) 5, pp. 337-342

Persistent link: https://www.econbiz.de/10010404397

Optimal investment and reinsurance of an insurer with model uncertainty

Zhang, Xin; Siu, Tak Kuen - In: Insurance / Mathematics & economics 45 (2009) 1, pp. 81-88

Persistent link: https://www.econbiz.de/10009517594

The call option pricing based on investment strategy with stochastic interest rate

Zhang, Xin; Shu, Huisheng; Kan, Xiu; Fang, Yingyi; … - In: Journal of mathematical finance 8 (2018) 1, pp. 43-57

Persistent link: https://www.econbiz.de/10011846108

Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling

Zhang, Xin; Meng, Hui; Zeng, Yan - In: Insurance / Mathematics & economics 67 (2016), pp. 125-132

Persistent link: https://www.econbiz.de/10011457200

Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option

Sun, Zhongyang; Zhang, Xin; Yuen, Kam Chuen - In: Scandinavian actuarial journal 2020 (2020) 3, pp. 218-244

Persistent link: https://www.econbiz.de/10012195046

Constructing long-short stock portfolio with a new listwise learn-to-rank algorithm

Zhang, Xin; Wu, Lan; Chen, Zhixue - In: Quantitative finance 22 (2022) 2, pp. 321-331

Persistent link: https://www.econbiz.de/10013167749

Score driven exponentially weighted moving average and value-at-risk forecasting

Lucas, André; Zhang, Xin - 2014

We present a simple new methodology to allow for time-variation in volatilities using a recursive updating scheme similar to the familiar RiskMetrics approach. It exploits the link between exponentially weighted moving average and integrated dynamics of score driven time varying parameter...

Persistent link: https://www.econbiz.de/10010384110

Modeling financial sector joint tail risk in the euro area

Lucas, André; Schwaab, Bernd; Zhang, Xin - 2015

Persistent link: https://www.econbiz.de/10011349820