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A general optimal investment model in the presence of background risk

Alghalith, Moawia; Guo, Xu; Wong, Wing Keung; Zhu, Lixing - In: Annals of financial economics 11 (2016) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10011503987

Mean-variance, mean-VaR, and mean-CVaR models for portfolio selection with background risk

Guo, Xu; Chan, Raymond H.; Wong, Wing Keung; Zhu, Lixing - In: Risk management : a journal of risk, crisis and disaster 21 (2019) 2, pp. 73-98

Persistent link: https://www.econbiz.de/10012060286

Farinelli and Tibiletti ratio and stochastic dominance

Guo, Xu; Niu, Cuizhen; Wong, Wing Keung - In: Risk management : a journal of risk, crisis and disaster 21 (2019) 3, pp. 201-213

Persistent link: https://www.econbiz.de/10012063313

Good approximation of exponential utility function for optimal futures hedging

Guo, Xu; Lien, Da-hsiang Donald; Wong, Wing Keung - In: Journal of mathematical finance 6 (2016) 3, pp. 457-463

Persistent link: https://www.econbiz.de/10011583581

Stochastic dominance and Omega ratio : measures to examine market efficiency, arbitrage opportunity, and anomaly

Guo, Xu; Jiang, Xuejun; Wong, Wing Keung - In: Economies : open access journal 5 (2017) 4, pp. 1-16

Both stochastic dominance and Omegaratio can be used to examine whether the market is efficient, whether there is any arbitrage opportunity in the market and whether there is any anomaly in the market. In this paper, we first study the relationship between stochastic dominance and the Omega...

Persistent link: https://www.econbiz.de/10011772356

Risk sharing markets and hedging a loan portfolio: a note

Broll, Udo; Guo, Xu; Welzel, Peter - In: Economics and business review 3 (2017) 4, pp. 47-54

Persistent link: https://www.econbiz.de/10011795807

Confidence band for expectation dependence with applications

Guo, Xu; Li, Jingyuan - In: Insurance / Mathematics & economics 68 (2016), pp. 141-149

Persistent link: https://www.econbiz.de/10011492634

New development on the third order stochastic dominance for risk-averse and risk-seeking investors with application in risk management

Chan, Raymond H.; Guo, Xu; Clark, Ephraim; Wong, Wing Keung - 2020

Persistent link: https://www.econbiz.de/10012384554

New development on the third-order stochastic dominance for risk-averse and risk-seeking investors with application in risk management

Chan, Raymond H.; Clark, Ephraim; Guo, Xu; Wong, Wing Keung - In: Risk management : a journal of risk, crisis and disaster 22 (2020) 2, pp. 108-132

Persistent link: https://www.econbiz.de/10012297611