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Optimal dynamic futures portfolio under a multifactor Gaussian framework

Leung, Tim; Yan, Raphael; Zhou, Yang - In: International journal of theoretical and applied finance 24 (2021) 5, pp. 1-27

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Constrained dynamic futures portfolios with stochastic basis

Chen, Xiaodong; Leung, Tim; Zhou, Yang - In: Annals of finance 18 (2022) 1, pp. 1-33

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A top-down approach for the multiple exercises and valuation of employee stock options

Leung, Tim; Zhou, Yang - In: International journal of theoretical and applied finance 23 (2020) 2, pp. 1-29

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Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility

Zeng, Yan; Li, Danping; Chen, Zheng; Yang, Zhou - In: Journal of economic dynamics & control 88 (2018), pp. 70-103

Persistent link: https://www.econbiz.de/10011973926

Optimal dynamic futures portfolio in a regime-switching market framework

Leung, Tim; Zhou, Yang - In: International journal of financial engineering 6 (2019) 4, pp. 1-27

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On the analysis of deep drawdowns for the Lévy insurance risk model

Landriault, David; Li, Bin; Lkabous, Mohamed Amine - In: Insurance / Mathematics & economics 100 (2021), pp. 147-155

Persistent link: https://www.econbiz.de/10012622386

Expected utility of the drawdown-based regime-switching risk model with state-dependent termination

Landriault, David; Li, Bin; Li, Shu - In: Insurance / Mathematics & economics 79 (2018), pp. 137-147

Persistent link: https://www.econbiz.de/10011825424

Poissonian potential measures for Lévy risk models

Landriault, David; Li, Bin; Wong, Jeff T. Y.; Xu, Di - In: Insurance / Mathematics & economics 82 (2018), pp. 152-166

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Alpha-robust mean-variance reinsurance-investment strategy

Li, Bin; Li, Danping; Xiong, Dewen - In: Journal of economic dynamics & control 70 (2016), pp. 101-123

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On the Frequency of Drawdowns for Brownian Motion Processes

Landriault, David - 2014

Drawdowns measuring the decline in value from the historical running maxima over a given period of time, are considered as extremal events from the standpoint of risk management. To date, research on the topic has mainly focus on the side of severity by studying the first drawdown over certain...

Persistent link: https://www.econbiz.de/10013057616