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Martingale measure method for expected utility maximization in discrete-time incomplete markets

Li, Ping; Xia, Jianming; Yan, Jia-an - In: Annals of economics and finance 2 (2001) 2, pp. 445-465

Persistent link: https://www.econbiz.de/10001732290

Growth optimal portfolio in a market driven by a jump-diffusion-like process or a Lévy process

Yan, Jia-an; Zhang, Qiang; Zhang, Shuguang - In: Annals of economics and finance 1 (2000) 1, pp. 101-116

Persistent link: https://www.econbiz.de/10001731831

Classical mean-variance model revisited : pseudo efficiency

Cui, Xiangyu; Li, Duan; Yan, Jia-an - In: Journal of the Operational Research Society : OR 66 (2015) 10, pp. 1646-1655

Persistent link: https://www.econbiz.de/10011417708

Optimal insurance design under rank-dependent expected utility

Bernard, Carole; He, Xue Dong; Yan, Jia-an; Zhou, Xun Yu - In: Mathematical finance : an international journal of … 25 (2015) 1, pp. 154-186

Persistent link: https://www.econbiz.de/10011347236

Multi-agent investment in incomplete markets

Xia, Jianming - In: Finance and stochastics 8 (2004) 2, pp. 241-259

Persistent link: https://www.econbiz.de/10002012585

Mean-variance portfolio choice : quadratic partial hedging

Xia, Jianming - In: Mathematical finance : an international journal of … 15 (2005) 3, pp. 533-538

Persistent link: https://www.econbiz.de/10002983332

Stock loans

Xia, Jianming; Zhou, Xun Yu - In: Mathematical finance : an international journal of … 17 (2007) 2, pp. 307-317

Persistent link: https://www.econbiz.de/10003543133

Risk measures with comonotonic subadditivity or convexity and respecting sotchastic orders

Song, Yongsheng; Yan, Jia-an - In: Insurance / Mathematics & economics 45 (2009) 3, pp. 459-465

Persistent link: https://www.econbiz.de/10009517548

Monotone Solutions to the Moral Hazard Problem

Jin, Hanqing; Xia, Jianming - 2018

This paper investigates monotone solutions of the moral hazard problems without the monotone likelihood ratio property. The optimal monotone solutions are explicitly characterized by a concave envelope relaxation approach for a two-action model in which the principal is risk neutral or exhibits...

Persistent link: https://www.econbiz.de/10014112560

A theory of National Development Bank : long-term investment and the agency problem

Jiang, Shenzhe; Xia, Junjie; Xu, Jiajun; Yan, Jianye - In: Economic theory 76 (2023) 3, pp. 995-1024

Persistent link: https://www.econbiz.de/10014426080