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Continuous-time portfolio selection with liability: Mean–variance model and stochastic LQ approach

Xie, Shuxiang; Li, Zhongfei; Wang, Shouyang - In: Insurance / Mathematics & economics 42 (2008) 3, pp. 943-953

Persistent link: https://www.econbiz.de/10008057659

Continuous-time portfolio selection with liability: Mean–variance model and stochastic LQ approach

Xie, Shuxiang; Li, Zhongfei; Wang, Shouyang - In: Insurance / Mathematics & economics 42 (2008) 3, pp. 943-954

Persistent link: https://www.econbiz.de/10008893136

Dividend optimization for jump-diffusion model with solvency constraints

Li, Yongwu; Li, Zhongfei; Wang, Shouyang; Xu, Zuo Quan - In: Operations research letters 48 (2020) 2, pp. 170-175

Persistent link: https://www.econbiz.de/10012254035

A new PM2.5 concentration forecasting system based on AdaBoost-ensemble system with deep learning approach

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Persistent link: https://www.econbiz.de/10013465774

Continuous-time mean-variance portfolio selection with liability and regime switching

Xie, Shuxiang - In: Insurance / Mathematics & economics 45 (2009) 1, pp. 148-155

Persistent link: https://www.econbiz.de/10009517587

Continuous-time mean–variance portfolio selection with liability and regime switching

Xie, Shuxiang - In: Insurance / Mathematics & economics 45 (2009) 1, pp. 148-156

Persistent link: https://www.econbiz.de/10008895430

Continuous-time mean-variance portfolio selection with liability and regime switching

Xie, Shuxiang - In: Insurance: Mathematics and Economics 45 (2009) 1, pp. 148-155

A continuous-time mean-variance model for individual investors with stochastic liability in a Markovian regime switching financial market, is investigated as a generalization of the model of Zhou and Yin [Zhou, X.Y., Yin, G., 2003. Markowitz's mean-variance portfolio selection with regime...

Persistent link: https://www.econbiz.de/10004973685

Continuous-time mean–variance portfolio selection with liability and regime switching

Xie, Shuxiang - In: Insurance / Mathematics & economics 45 (2009) 1, pp. 148

Persistent link: https://www.econbiz.de/10008277107

Looking for arbitrage or term structures in frictional markets

Li, Zhongfei; Ng, Kai-Wang - In: Internet and network economics : first international …, (pp. 612-621). 2005

Persistent link: https://www.econbiz.de/10003276794

Behavior patterns of investment strategies under Roy’s safety-first principle

Li, Zhongfei; Yao, Jing; Li, Duan - In: The quarterly review of economics and finance : journal … 50 (2010) 2, pp. 167-179

Persistent link: https://www.econbiz.de/10008688969

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