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A Convex Stochastic Optimizati...
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A dynamic mean-variance analysis for log returns
Dai, Min
;
Jin, Hanqing
;
Kou, Steven
;
Xu, Yuhong
- In:
Management science : journal of the Institute for …
67
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2021
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2
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pp. 1093-1108
Persistent link: https://www.econbiz.de/10012505370
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Optimal lockdown policy for vaccination during COVID-19 pandemic
Fu, Yuting
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Jin, Hanqing
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Xiang, Haitao
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Wang, Ning
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Finance research letters
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Special issue: Selected papers from the Lijiang Workshop
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Workshop on Mathematical Finance and Insurance <2006, …
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2008
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Special issue: Selected papers from the Yellow Mountain Workshop
Zhou, Xun Yu
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Workshop on Mathematical Finance and Insurance <2004, …
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2006
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Portfolio choice under cumulative prospect theory : an analytical treatment
He, Xue Dong
;
Zhou, Xun Yu
- In:
Management science : journal of the Institute for …
57
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2011
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2
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pp. 315-331
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66
Stock loans
Xia, Jianming
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Zhou, Xun Yu
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17
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2007
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2
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pp. 307-317
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A generalized Neyman-Pearson lemma for g-probabilities
Ji, Shaolin
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Zhou, Xun Yu
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Probability theory and related fields
148
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2010
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3/4
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Optimal insurance design under rank-dependent expected utility
Bernard, Carole
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He, Xue Dong
;
Yan, Jia-an
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Zhou, Xun Yu
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25
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2015
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Mean-variance portfolio optimization with state-dependent risk aversion
Björk, Tomas
;
Murgoci, Agatha
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Zhou, Xun Yu
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24
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2014
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1
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70
Backward stochastic differential equations and stochastic controls : a new perspective
Kohlmann, Michael
;
Zhou, Xun Yu
-
1999
It is well known that backward stochastic differential equations (BSDEs) stem from the study on the Pontryagin type maximum principle for optional stochastic control. A solution of a BSDE hits a given terminal value (which is a random variable) by virtue of an additional martingale term and an...
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