Stochastic differential investment and reinsurance game between an insurer and a reinsurer under thinning dependence structure

C Zhang, Z Liang, Y Yuan - European Journal of Operational Research, 2024 - Elsevier
This paper investigates a non-zero-sum stochastic differential investment and reinsurance
game between an insurer and a reinsurer. It is assumed that the insurer can purchase …

Hesitant fuzzy linguistic portfolio model with variable risk appetite and its application in the investment ratio calculation

W Zhou, Z Xu - Applied Soft Computing, 2019 - Elsevier
Qualitative evaluation information is important for financial decision-making and investment
when quantitative data are unavailable. Although an alternative ranking is available, specific …

A robust Markowitz mean-variance portfolio selection model with an intractable claim

D Hou, ZQ Xu - SIAM Journal on Financial Mathematics, 2016 - SIAM
This paper studies a robust Markowitz mean-variance model where an intractable claim is
involved in the terminal wealth. The term “intractable claim” refers to claims (rewards or …

Cone-constrained monotone mean-variance portfolio selection under diffusion models

Y Shen, B Zou - SIAM Journal on Financial Mathematics, 2022 - SIAM
We consider monotone mean-variance (MMV) portfolio selection problems with a conic
convex constraint under diffusion models, and their counterpart problems under mean …

Multi-period asset-liability management with cash flows and probability constraints: A mean-field formulation approach

X Li, X Wu, H Yao - Journal of the Operational Research Society, 2020 - Taylor & Francis
Using a multi-period mean-variance model, we investigate an asset-liability portfolio
management problem with probability constraints, where an investor intends to control the …

Equilibrium for Time-Inconsistent Stochastic Linear--Quadratic Control under Constraint

Y Hu, J Huang, X Li - arXiv preprint arXiv:1703.09415, 2017 - arxiv.org
In this paper, we study a class of stochastic time-inconsistent linear-quadratic (LQ) control
problems with control input constraints. These problems are investigated within the more …

Constrained mean-variance portfolio optimization for jump-diffusion process under partial information

C Zhang, Z Liang - Stochastic Models, 2023 - Taylor & Francis
This article studies a mean-variance portfolio selection problem for a jump-diffusion model,
where the drift process is modulated by a continuous unobservable Markov chain. Since …

Dynamic Programming for Indefinite Stochastic McKean-Vlasov LQ Control Problem under Input Constraints

X Li, L Zhang - arXiv preprint arXiv:2310.02745, 2023 - arxiv.org
In this note, we study a class of indefinite stochastic McKean-Vlasov linear-quadratic (LQ in
short) control problem under the control taking nonnegative values. In contrast to the …

Optimal redeeming strategy of stock loans under drift uncertainty

ZQ Xu, F Yi - Mathematics of Operations Research, 2020 - pubsonline.informs.org
In practice, one must recognize the inevitable incompleteness of information while making
decisions. In this paper, we consider the optimal redeeming problem of stock loans under a …

Continuous-time Markowitz's mean-variance model under different borrowing and saving rates

C Guan, X Shi, ZQ Xu - Journal of Optimization Theory and Applications, 2023 - Springer
We study Markowitz's mean-variance portfolio selection problem in a continuous-time Black–
Scholes market with different borrowing and saving rates. The associated Hamilton–Jacobi …