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Xue, Xiaole; Wei, Pengyu; Weng, Chengguo - In: Insurance / Mathematics & economics 84 (2019), pp. 40-53

Persistent link: https://www.econbiz.de/10011990431

Optimization under rational expectations : a framework of fully coupled forward-backward stochastic linear quadratic systems

Hu, Mingshang; Ji, Shaolin; Xue, Xiaole - In: Mathematics of operations research 48 (2023) 3, pp. 1767-1790

Persistent link: https://www.econbiz.de/10014329362

The perturbation method applied to a robust optimization problem with constraint

Luo, Peng; Schied, Alexander; Xue, Xiaole - In: Mathematics and financial economics 18 (2024) 1, pp. 95-112

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Constant proportion portfolio insurance under a regime switching exponential Lévy process

Weng, Chengguo - In: Insurance / Mathematics & economics 52 (2013) 3, pp. 508-521

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A Backward Simulation Method for Stochastic Optimal Control Problems

Shen, Zhiyi - 2019

A number of optimal decision problems with uncertainty can be formulated into a stochastic optimal control framework. The Least-Squares Monte Carlo (LSMC) algorithm is a popular numerical method to approach solutions of such stochastic control problems as analytical solutions are not tractable...

Persistent link: https://www.econbiz.de/10012894503

Equilibrium consumption and portfolio decisions with stochastic discount rate and time-varying utility functions

Wu, Huiling; Weng, Chengguo; Zeng, Yan - In: OR spectrum : quantitative approaches in management 40 (2018) 2, pp. 541-582

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Optimal investment strategies for participating contracts

Lin, Hongcan; Saunders, David M.; Weng, Chengguo - In: Insurance / Mathematics & economics 73 (2017), pp. 137-155

Persistent link: https://www.econbiz.de/10011702060

Portfolio optimization with performance ratios

Lin, Hongcan; Saunders, David M.; Weng, Chengguo - In: International journal of theoretical and applied finance 22 (2019) 5, pp. 1-38

Persistent link: https://www.econbiz.de/10012153014

BSDE approach to utility maximization with square-root factor processes

Lin, Hongcan; Saunders, David M.; Weng, Chengguo - In: Operations research letters 48 (2020) 2, pp. 130-135

Persistent link: https://www.econbiz.de/10012254025

Dynamic risk-sharing game and reinsurance contract design

Chen, Shumin; Liu, Yanchu; Weng, Chengguo - In: Insurance / Mathematics & economics 86 (2019), pp. 216-231

Persistent link: https://www.econbiz.de/10012058864