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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

Portfolio choice via quantiles

He, Xue Dong; Zhou, Xun Yu - In: Mathematical finance : an international journal of … 21 (2011) 2, pp. 203-231

Persistent link: https://www.econbiz.de/10008935692

Dynamic portfolio choice when risk is measured by weighted VaR

He, Xue Dong; Jin, Hanqing; Zhou, Xun Yu - In: Mathematics of operations research 40 (2015) 3, pp. 773-796

Persistent link: https://www.econbiz.de/10011338687

Hope, fear, and aspirations

He, Xue Dong; Zhou, Xun Yu - In: Mathematical finance : an international journal of … 26 (2016) 1, pp. 3-50

Persistent link: https://www.econbiz.de/10011550126

Path-Dependent and Randomized Strategies in Barberis' Casino Gambling Model

He, Xue Dong - 2016

We consider the dynamic casino gambling model initially proposed by Barberis [Manage. Sci., 2012, 58, 35-51] and study the optimal stopping strategy of a pre-committing gambler with cumulative prospect theory (CPT) preferences. We illustrate how the strategies computed in Barberis [2012] can be...

Persistent link: https://www.econbiz.de/10013005579