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Stochastic control with inhomogeneous regime switching : application to consumption and investment with unemployment and reemployment

Tao, Cheng; Rong, Ximin; Zhao, Hui - In: Journal of mathematical economics 107 (2023), pp. 1-10

Persistent link: https://www.econbiz.de/10014366223

Optimal investment problem with multiple risky assets under the constant elasticity of variance (CEV) model

Zhao, Hui; Rong, Ximin; Ma, Weiqin; Gao, Bo - In: Modern economy 3 (2012) 6, pp. 718-725

Persistent link: https://www.econbiz.de/10009720485

Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk

Li, Danping; Rong, Ximin; Zhao, Hui - In: Insurance / Mathematics & economics 64 (2015), pp. 28-44

Persistent link: https://www.econbiz.de/10011396861

The optimal investment problem for an insurer and a reinsurer under the constant elasticity of variance model

Li, Danping; Rong, Ximin; Zhao, Hui - In: IMA journal of management mathematics 27 (2016) 2, pp. 255-280

Persistent link: https://www.econbiz.de/10011567155

Optimal reinsurance-investment problem with default risk for an insurer under the constant elasticity of variance model

Yan, Yiqi; Rong, Ximin; Zhao, Hui - In: IMA journal of management mathematics 36 (2025) 1, pp. 135-160

Persistent link: https://www.econbiz.de/10015333133

A class of nonzero-sum investment and reinsurance games subject to systematic risks

Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang; … - In: Scandinavian actuarial journal (2017) 8, pp. 670-707

Persistent link: https://www.econbiz.de/10011848596

Asset price dynamics : shocks and regimes

MacLean, Leonard C.; Zhao, Yonggan - In: Optimal financial decision making under uncertainty, (pp. 35-53). 2017

Persistent link: https://www.econbiz.de/10011558441

Growth-security models and stochastic dominance

MacLean, Leonard C.; Zhao, Yonggan; Ziemba, William T. - In: Stochastic programming : the state of the art ; in …, (pp. 277-296). 2011

Persistent link: https://www.econbiz.de/10008798650

A generalized entropy approach to portfolio selection under a hidden markov model

MacLean, Leonard C.; Yu, Lijun; Zhao, Yonggan - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-25

This paper develops a dynamic portfolio selection model incorporating economic uncertainty for business cycles. It is assumed that the financial market at each point in time is defined by a hidden Markov model, which is characterized by the overall equity market returns and volatility. The risk...

Persistent link: https://www.econbiz.de/10013375264

International value versus growth : evidence from stochastic dominance analysis

Abhyankar, Abhay; Ho, Keng-Yu; Zhao, Huainan - In: International journal of finance & economics : IJFE 14 (2009) 3, pp. 222-232

Persistent link: https://www.econbiz.de/10003901041