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subject:"Portfolio selection"
~person:"Zeng, Yan"
~type_genre:"Article in journal"
~type_genre:"Hochschulschrift"
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Portfolio selection
Theorie
21
Theory
21
Portfolio-Management
13
Reinsurance
7
Rückversicherung
7
Insurance
5
Time consistency
5
Versicherung
5
Zeitkonsistenz
5
Altersvorsorge
4
Mean-variance criterion
4
Pension fund
4
Pensionskasse
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Retirement provision
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CAPM
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Dynamic programming
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Dynamische Optimierung
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Risiko
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Uncertain time-horizon
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Credit risk
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DC pension plan
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Decision under uncertainty
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Efficient frontier
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Entscheidung unter Unsicherheit
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Equilibrium strategy
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Intertemporal choice
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Loss aversion
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Martingale approach
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Multi-period mean-variance model
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Robust optimal control
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Robust statistics
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Article in journal
Hochschulschrift
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13
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English
13
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Zeng, Yan
Fabozzi, Frank J.
41
Korn, Ralf
30
Escobar, Marcos
27
Li, Duan
25
Wong, Wing Keung
25
Zagst, Rudi
22
Markowitz, Harry
20
Prigent, Jean-Luc
20
Wang, Ruodu
18
Forsyth, Peter A.
17
Sass, Jörn
17
Wong, Hoi Ying
17
Gollier, Christian
16
Post, Thierry
16
Chen, Zhiping
15
Jarrow, Robert A.
15
Levy, Haim
15
Li, Zhongfei
15
Lioui, Abraham
15
Platen, Eckhard
15
Vanduffel, Steven
15
Yao, Haixiang
15
Cui, Xiangyu
14
Cvitanić, Jakša
14
Liang, Zongxia
14
Rüschendorf, Ludger
14
Kraft, Holger
13
Kwon, Roy H.
13
Maurer, Raimond
13
Račev, Svetlozar T.
13
Siu, Tak Kuen
13
Zariphopoulou-Souganidis, Thaleia
13
Zhou, Guofu
13
Bernard, Carole
12
Dai, Min
12
Guerard, John Baynard
12
Kim, Woo Chang
12
Koo, Hyeng-keun
12
Li, Xun
12
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Insurance / Mathematics & economics
10
Economic modelling
3
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ECONIS (ZBW)
13
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1
Portfolio choice with illiquid asset for a loss-averse pension fund investor
Chen, Zheng
;
Li, Zhongfei
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
108
(
2023
),
pp. 60-83
Persistent link: https://www.econbiz.de/10013534511
Saved in:
2
Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion
Zhao, Hui
;
Shen, Yang
;
Zeng, Yan
;
Zhang, WenJun
- In:
Insurance / Mathematics & economics
88
(
2019
),
pp. 159-180
Persistent link: https://www.econbiz.de/10012105537
Saved in:
3
Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk
Chen, Zheng
;
Li, Zhongfei
;
Zeng, Yan
;
Sun, Jingyun
- In:
Insurance / Mathematics & economics
75
(
2017
),
pp. 137-150
Persistent link: https://www.econbiz.de/10011740793
Saved in:
4
Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
Zeng, Yan
;
Li, Danping
;
Gu, Ailing
- In:
Insurance / Mathematics & economics
66
(
2016
),
pp. 138-152
Persistent link: https://www.econbiz.de/10011442729
Saved in:
5
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
Saved in:
6
Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model
Sun, Jingyun
;
Li, Zhongfei
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
67
(
2016
),
pp. 158-172
Persistent link: https://www.econbiz.de/10011457232
Saved in:
7
Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk
Wu, Huiling
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
64
(
2015
),
pp. 396-408
Persistent link: https://www.econbiz.de/10011398120
Saved in:
8
Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
Shen, Yang
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
62
(
2015
),
pp. 118-137
Persistent link: https://www.econbiz.de/10011312080
Saved in:
9
Multi-period Markowitz's mean-variance portfolio selection with state-dependent exit probability
Wu, Huiling
;
Zeng, Yan
;
Yao, Haixiang
- In:
Economic modelling
36
(
2014
),
pp. 69-78
Persistent link: https://www.econbiz.de/10010412027
Saved in:
10
Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
Zeng, Yan
;
Li, Zhongfei
;
Lai, Yongzeng
- In:
Insurance / Mathematics & economics
52
(
2013
)
3
,
pp. 498-507
Persistent link: https://www.econbiz.de/10009763600
Saved in:
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