| Publication | Date of Publication | Type |
|---|
| Robust optimal investment strategy for a DC pension plan in the market with mispricing and constant elasticity of variance | 2023-07-21 | Paper |
| Equilibrium strategy for a multi-period weighted mean-variance portfolio selection in a Markov regime-switching market with uncertain time-horizon and a stochastic cash flow | 2023-06-26 | Paper |
| Optimal portfolio selection with life insurance under subjective survival belief and habit formation | 2023-03-29 | Paper |
| Portfolio choice with illiquid asset for a loss-averse pension fund investor | 2023-02-03 | Paper |
| Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model | 2022-10-26 | Paper |
| Time-consistent investment strategies for a DC pension member with stochastic interest rate and stochastic income | 2022-09-27 | Paper |
| Asset allocation for a DC pension plan with learning about stock return predictability | 2022-09-23 | Paper |
| Multiperiod Optimal Investment-Consumption Strategies with Mortality Risk and Environment Uncertainty | 2022-01-19 | Paper |
| Mean-CVaR portfolio selection model with ambiguity in distribution and attitude | 2021-11-12 | Paper |
| Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate | 2021-09-10 | Paper |
| Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity | 2021-02-19 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3306973 | 2020-08-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5115167 | 2020-08-12 | Paper |
| Dividend optimization for jump-diffusion model with solvency constraints | 2020-04-07 | Paper |
| Control variate methods and applications to Asian and basket options pricing under jump-diffusion models | 2019-06-18 | Paper |
| Data-driven robust mean-CVaR portfolio selection under distribution ambiguity | 2019-03-06 | Paper |
| Multi‐period mean variance portfolio selection under incomplete information | 2019-02-08 | Paper |
| A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with probability constraints | 2019-02-05 | Paper |
| The premium of dynamic trading in a discrete-time setting | 2018-11-13 | Paper |
| Optimal dividend strategies with time-inconsistent preferences | 2018-11-01 | Paper |
| Equilibrium investment strategy for DC pension plan with inflation and stochastic income under Heston's SV model | 2018-10-12 | Paper |
| Optimal investment strategy under time-inconsistent preferences and high-water mark contract | 2018-10-01 | Paper |
| Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause | 2018-08-28 | Paper |
| Constrained optimality for finite horizon semi-Markov decision processes in Polish spaces | 2018-08-27 | Paper |
| Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria | 2018-07-11 | Paper |
| Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility | 2018-06-15 | Paper |
| An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution | 2018-05-18 | Paper |
| Optimal Dividend Strategy for a General Diffusion Process with Time-Inconsistent Preferences and Ruin Penalty | 2018-04-16 | Paper |
| Effect of the Return Policy in a Continuous-Time Newsvendor Problem | 2018-01-10 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5371804 | 2017-10-20 | Paper |
| Optimal reinsurance and investment strategies for insurers with regime-switching and state-dependent utility function | 2017-08-25 | Paper |
| Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk | 2017-07-17 | Paper |
| Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset | 2017-05-22 | Paper |
| Mean-CVaR portfolio selection: a nonparametric estimation framework | 2016-11-14 | Paper |
| Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability | 2016-10-07 | Paper |
| Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model | 2016-05-12 | Paper |
| Equilibrium dividend strategy with non-exponential discounting in a dual model | 2016-04-22 | Paper |
| Optimality conditions for a class of multiobjective fractional programming problems | 2016-03-07 | Paper |
| \(\epsilon\)-optimality and \(\epsilon\)-duality of nonsmooth nonconvex multiobjective programming | 2016-03-07 | Paper |
| Duality theorems for a class of generalized convex multi-objective programming problems | 2016-03-07 | Paper |
| The Lagrangian multipliers, saddle points and duality of multi-objective programming in linear topological spaces | 2016-03-07 | Paper |
| Generalized Kuhn-Tucker sufficient conditions for a class of nonconvex multi-objective programming in problems of Banach spaces | 2016-03-07 | Paper |
| A scalarization theorem for vector extremal problems | 2016-03-07 | Paper |
| Duality for a class of multiobjective fractional programming problems | 2016-03-07 | Paper |
| Duality theory of multiobjective arcwise-convex programming | 2016-03-07 | Paper |
| Properly efficient solutions to nonconvex nonsmooth vector extremal problems in ordered linear topological spaces | 2016-03-07 | Paper |
| Sufficient conditions for optimality of multiobjective arcwise-convex programming | 2016-03-07 | Paper |
| Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate | 2015-07-31 | Paper |
| Optimal dividend-equity issuance strategy in a dual model with fixed and proportional transaction costs | 2015-07-22 | Paper |
| Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model | 2015-05-26 | Paper |
| Dynamic portfolio selection with mispricing and model ambiguity | 2015-03-24 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5167575 | 2014-06-30 | Paper |
| Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model | 2014-06-23 | Paper |
| Optimal reinsurance-investment strategies for insurers under mean-car criteria | 2014-05-16 | Paper |
| Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model | 2014-04-25 | Paper |
| Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion | 2014-04-15 | Paper |
| Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model | 2014-04-10 | Paper |
| Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps | 2014-04-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5399565 | 2014-02-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5398752 | 2014-02-28 | Paper |
| Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets | 2014-01-09 | Paper |
| Multi-period portfolio optimization for asset-liability management with bankrupt control | 2013-12-23 | Paper |
| Mean-VaR portfolio selection based on a particle swarm optimization algorithm | 2013-11-19 | Paper |
| Proper Pareto equilibria in multicriterian metagames | 2013-07-26 | Paper |
| Proper saddle points and properly efficient solutions to constrained vector optimization problems | 2013-07-26 | Paper |
| A scalarization theorem for Geoffrion's proper efficiency in multiobjective optimization | 2013-07-26 | Paper |
| Multiperiod asset-liability management with serially correlated yields | 2013-06-20 | Paper |
| Multi-period mean-variance portfolio selection with uncertain time horizon when returns are serially correlated | 2013-06-11 | Paper |
| Minimum risk probability for finite horizon semi-Markov decision processes | 2013-04-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4901581 | 2013-01-24 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4901151 | 2013-01-24 | Paper |
| Continuous-time mean-variance optimal portfolio selection with regime switching when stock prices follow geometric Levy processes | 2012-06-01 | Paper |
| Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow | 2012-05-11 | Paper |
| Optimal investment-reinsurance policy for an insurance company with VaR constraint | 2012-02-10 | Paper |
| The optimal policy for an insurance company with real investment | 2012-01-27 | Paper |
| Optimal proportional reinsurance-investment policies for an insurer under capital-at-risk constraint | 2012-01-27 | Paper |
| Optimal strategies of benchmark and mean-variance portfolio selection problems for insurers | 2011-12-28 | Paper |
| Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market | 2011-11-17 | Paper |
| The maximal linearly independent group of assets and the two-fund separation theorem | 2011-09-29 | Paper |
| Optimal time-consistent investment and reinsurance policies for mean-variance insurers | 2011-08-01 | Paper |
| Optimal investment strategy for insurers under linear constraint | 2011-07-19 | Paper |
| Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon | 2011-06-22 | Paper |
| Optimal proportional reinsurance policy based on regulations | 2010-11-05 | Paper |
| Portfolio model and its explicit expressions of portfolio efficient frontier with minimum investment proportion constraint | 2010-07-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3408234 | 2010-02-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3640355 | 2009-11-11 | Paper |
| Optimal investment with noise trading risk | 2009-10-15 | Paper |
| Multi-period portfolio selection for asset-liability management with uncertain investment horizon | 2009-05-26 | Paper |
| ε-Conjugate maps andε-conjugate duality in vector optimization with set-valued maps | 2009-01-23 | Paper |
| Optimal dynamic portfolio selection with earnings-at-risk | 2008-09-23 | Paper |
| Continuous-time optimal portfolio selection with liability | 2008-08-06 | Paper |
| Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach | 2008-06-25 | Paper |
| The equivalent conditions of dictatorship for social welfare functions | 2008-04-04 | Paper |
| Continuous-time optimal portfolio selection using mean-CaR models | 2008-02-15 | Paper |
| Computation of arbitrage in frictional bond markets | 2007-01-09 | Paper |
| OPTIMAL CONSTANT-REBALANCED PORTFOLIO INVESTMENT STRATEGIES FOR DYNAMIC PORTFOLIO SELECTION | 2006-09-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3371139 | 2006-02-21 | Paper |
| A linear programming algorithm for optimal portfolio selection with transaction costs | 2006-02-14 | Paper |
| Algorithmic Applications in Management | 2005-11-30 | Paper |
| COMPUTATIONAL COMPLEXITY OF ARBITRAGE IN FRICTIONAL SECURITY MARKET | 2005-06-22 | Paper |
| A minimax portfolio selection strategy with equilibrium | 2005-06-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4675662 | 2005-05-06 | Paper |
| Necessary and sufficient conditions for weak no-arbitrage in securities markets with frictions | 2005-04-22 | Paper |
| Optimal portfolio selection of assets with transaction costs and no short sales | 2003-09-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4709636 | 2002-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4528274 | 2001-01-31 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2766840 | 2000-01-01 | Paper |
| Global efficiency in multiobjective programming* | 1999-11-22 | Paper |
| Connectedness of super efficient sets in vector optimization of set-valued maps | 1999-10-05 | Paper |
| A theorem of the alternative and its application to the optimization of set-valued maps | 1999-05-17 | Paper |
| ε-approximate solutions in multiobjective optimization | 1999-02-02 | Paper |
| Benson proper efficiency in the vector optimization of set-valued maps | 1999-01-06 | Paper |
| A type of minimax inequality for vector-valued mappings | 1999-01-06 | Paper |
| A minimax inequality for vector-valued mappings | 1999-01-01 | Paper |
| Lagrangian multipliers, saddle points, and duality in vector optimization of set-valued maps | 1998-03-11 | Paper |
| Super efficiency in vector optimization of set-valued maps | 1998-01-01 | Paper |
| Two types of duality in multiobjective fractional programming | 1997-08-05 | Paper |
| Paréto equilibria in multicriteria metagames | 1996-08-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4848891 | 1996-02-04 | Paper |
| Scalarization and lagrange duality in multiobjective optimization | 1995-03-27 | Paper |
| Optimality conditions for multiobjecttve and nonsmooth minimisation in abstract spaces | 1995-02-26 | Paper |
| Lagrange multipliers and saddle points in multiobjective programming | 1994-12-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4278923 | 1994-03-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3134600 | 1993-09-16 | Paper |
