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BSDE approach to utility maximization with square-root factor processes
Lin, Hongcan; Saunders, David M.; Weng, Chengguo - In: Operations research letters 48 (2020) 2, pp. 130-135
Persistent link: https://www.econbiz.de/10012254025
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Optimal investment strategies for participating contracts
Lin, Hongcan; Saunders, David M.; Weng, Chengguo - In: Insurance / Mathematics & economics 73 (2017), pp. 137-155
Persistent link: https://www.econbiz.de/10011702060
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Portfolio optimization with performance ratios
Lin, Hongcan; Saunders, David M.; Weng, Chengguo - In: International journal of theoretical and applied finance 22 (2019) 5, pp. 1-38
Persistent link: https://www.econbiz.de/10012153014
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The coefficient of variation, stochastic dominance and inequality : a new interpretation
Formby, John P.; Smith, W. James; Zheng, Buhong - In: Economics letters 62 (1999) 3, pp. 319-323
Persistent link: https://www.econbiz.de/10001398737