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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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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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Growth optimal portfolio in a market driven by a jump-diffusion-like process or a Lévy process
Yan, Jia-an; Zhang, Qiang; Zhang, Shuguang - In: Annals of economics and finance 1 (2000) 1, pp. 101-116
Persistent link: https://www.econbiz.de/10001731831
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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