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  • Search: person:"Yan, Jia‐An"
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Year of publication
Subject
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Theorie 7 Theory 7 Portfolio selection 4 Portfolio-Management 4 Incomplete market 3 Economics of insurance 2 Erwartungsnutzen 2 Expected utility 2 Martingale measure 2 Relative entropy 2 Unvollkommener Markt 2 Versicherungsökonomik 2 Air pollution 1 Bioenergie 1 Bioenergy 1 Deductible 1 Efficient market hypothesis 1 Effizienzmarkthypothese 1 Eigeninteresse 1 Emissions trading 1 Emissionshandel 1 Erwartungsbildung 1 Estimation theory 1 Expectation formation 1 Financial market 1 Finanzmarkt 1 Greenhouse gas emissions 1 Growth optimal portfolio 1 Hellinger-Kakutani distance 1 Jump-diffusion 1 Levy process 1 Luftverschmutzung 1 Markov chain 1 Markov-Kette 1 Martingal 1 Martingale 1 Measurement 1 Messung 1 Numeraire portfolio 1 Nutzen 1
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Online availability
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Free 5 Undetermined 5
Type of publication
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Article 16 Book / Working Paper 3
Type of publication (narrower categories)
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Article in journal 7 Aufsatz in Zeitschrift 7
Language
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English 11 Undetermined 8
Author
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Yan, Jia-an 12 Yan, Jia-An 6 Song, Yongsheng 4 Xia, Jianming 4 Bernard, Carole 2 Cui, Xiangyu 2 He, Xue Dong 2 Li, Duan 2 Li, Ping 2 Zhang, Qiang 2 Zhang, Shuguang 2 Zhou, Xun Yu 2 Duan, Jinqiao 1 Liu, Wen 1 Möllersten, K. 1 Yan, Jia‐An 1 Yang, Weiguo 1
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Institution
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arXiv.org 1
Published in...
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Insurance / Mathematics & economics 3 Annals of Economics and Finance 2 Annals of economics and finance 2 Mathematical finance : an international journal of mathematics, statistics and financial theory 2 Statistics & Probability Letters 2 Insurance: Mathematics and Economics 1 Journal of the Operational Research Society : OR 1 Mathematical Finance 1 Papers / arXiv.org 1 Stochastic Processes and their Applications 1 World resource review 1
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Source
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ECONIS (ZBW) 9 RePEc 8 OLC EcoSci 2
Showing 1 - 10 of 19
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Classical Mean Variance Model Revisited : Pseudo Efficiency
Yan, Jia-an - 2009
Since Markowitz published his seminal work on mean-variance portfolio selection in 1952, almost all literature in the past half century adhere their investigation to a binding budget spending assumption on this classical investment issue. In the mean-variance world for a market of all risky...
Persistent link: https://www.econbiz.de/10013154329
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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
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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
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Optimal Insurance Design Under Rank-Dependent Expected Utility
Bernard, Carole - 2012
We consider an optimal insurance design problem for an individual whose preferences are dictated by the rank-dependent expected utility (RDEU) theory with a concave utility function and an inverse-S shaped probability distortion function. This type of RDEU is known to describe human behavior...
Persistent link: https://www.econbiz.de/10013114445
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Markowitz's portfolio optimization in an incomplete market
Xia, Jianming; Yan, Jia-an - In: Mathematical finance : an international journal of … 16 (2006) 1, pp. 203-216
Persistent link: https://www.econbiz.de/10003336872
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A numeraire-free and original probability based framework for financial markets
Yan, Jia-An - arXiv.org - 2003
In this paper, we introduce a numeraire-free and original probability based framework for financial markets. We reformulate or characterize fair markets, the optional decomposition theorem, superhedging, attainable claims and complete markets in terms of martingale deflators, present a recent...
Persistent link: https://www.econbiz.de/10005084006
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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
In this paper we study the expected utility maximization problem for discretetime incomplete financial markets. As shown by Xia and Yan (2000a, 2000b) in the continuous-time case, this problem can be solved by the martingale measure method. In a special discrete-time model, we explicitly work...
Persistent link: https://www.econbiz.de/10009144916
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Economic evaluation of biomass-based energy systems with CO 2, capture and sequestration in kraft pulp mills : the influence of the price of CO 2 emission quota
Möllersten, K.; Yan, Jia-an - In: World resource review 13 (2001) 4, pp. 509-525
Persistent link: https://www.econbiz.de/10001651315
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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
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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
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