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 …

Qualitative evaluation information is important for financial decision-making and investment
when quantitative data are unavailable. Although an alternative ranking is available, specific …

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 …

We consider monotone mean-variance (MMV) portfolio selection problems with a conic
convex constraint under diffusion models, and their counterpart problems under mean …

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 …

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 …

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 …

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 …

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 …

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 …