| Publication | Date of Publication | Type |
|---|
Robust optimal investment strategy for a DC pension plan in the market with mispricing and constant elasticity of variance
Journal of Industrial and Management Optimization | 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
Communications in Statistics: Theory and Methods | 2023-06-26 | Paper |
Optimal portfolio selection with life insurance under subjective survival belief and habit formation
Journal of Industrial and Management Optimization | 2023-03-29 | Paper |
Portfolio choice with illiquid asset for a loss-averse pension fund investor
Insurance Mathematics \& Economics | 2023-02-03 | Paper |
Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model
Scandinavian Actuarial Journal | 2022-10-26 | Paper |
Time-consistent investment strategies for a DC pension member with stochastic interest rate and stochastic income
Journal of the Operations Research Society of China | 2022-09-27 | Paper |
Asset allocation for a DC pension plan with learning about stock return predictability
Journal of Industrial and Management Optimization | 2022-09-23 | Paper |
Multiperiod optimal investment-consumption strategies with mortality risk and environment uncertainty
North American Actuarial Journal | 2022-01-19 | Paper |
Mean-CVaR portfolio selection model with ambiguity in distribution and attitude
Journal of Industrial and Management Optimization | 2021-11-12 | Paper |
Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate
Journal of Industrial and Management Optimization | 2021-09-10 | Paper |
Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity
Optimization | 2021-02-19 | Paper |
Time-consistent strategy for general multi-period mean-variance asset-liability management in a Markov market
| 2020-08-12 | Paper |
Equilibrium strategy for multi-period mean-variance asset-liability management with regime switching and a stochastic cash flow
| 2020-08-12 | Paper |
Dividend optimization for jump-diffusion model with solvency constraints
Operations Research Letters | 2020-04-07 | Paper |
Control variate methods and applications to Asian and basket options pricing under jump-diffusion models
IMA Journal of Management Mathematics | 2019-06-18 | Paper |
Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
Quantitative Finance | 2019-03-06 | Paper |
Multi-period mean variance portfolio selection under incomplete information
Applied Stochastic Models in Business and Industry | 2019-02-08 | Paper |
A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with probability constraints
Journal of Industrial and Management Optimization | 2019-02-05 | Paper |
The premium of dynamic trading in a discrete-time setting
Quantitative Finance | 2018-11-13 | Paper |
Optimal dividend strategies with time-inconsistent preferences
Journal of Economic Dynamics and Control | 2018-11-01 | Paper |
Equilibrium investment strategy for DC pension plan with inflation and stochastic income under Heston's SV model
Mathematical Problems in Engineering | 2018-10-12 | Paper |
Optimal investment strategy under time-inconsistent preferences and high-water mark contract
Operations Research Letters | 2018-10-01 | Paper |
Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause
Insurance Mathematics \& Economics | 2018-08-28 | Paper |
Constrained optimality for finite horizon semi-Markov decision processes in Polish spaces
Operations Research Letters | 2018-08-27 | Paper |
Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
Scandinavian Actuarial Journal | 2018-07-11 | Paper |
Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
Insurance Mathematics \& Economics | 2018-06-15 | Paper |
An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution
Mathematical Methods of Operations Research | 2018-05-18 | Paper |
Optimal dividend strategy for a general diffusion process with time-inconsistent preferences and ruin penalty
SIAM Journal on Financial Mathematics | 2018-04-16 | Paper |
Effect of the Return Policy in a Continuous-Time Newsvendor Problem
Asia-Pacific Journal of Operational Research | 2018-01-10 | Paper |
CVaR robust mean-CVaR portfolio optimization model and the solving methods
| 2017-10-20 | Paper |
Optimal reinsurance and investment strategies for insurers with regime-switching and state-dependent utility function
Journal of Systems Science and Complexity | 2017-08-25 | Paper |
Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk
Insurance Mathematics \& Economics | 2017-07-17 | Paper |
Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset
Journal of Industrial and Management Optimization | 2017-05-22 | Paper |
Mean-CVaR portfolio selection: a nonparametric estimation framework
Computers \& Operations Research | 2016-11-14 | Paper |
Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability
European Journal of Operational Research | 2016-10-07 | Paper |
Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model
Insurance Mathematics \& Economics | 2016-05-12 | Paper |
Equilibrium dividend strategy with non-exponential discounting in a dual model
Journal of Optimization Theory and Applications | 2016-04-22 | Paper |
Optimality conditions for a class of multiobjective fractional programming problems
Journal of Inner Mongolia University | 2016-03-07 | Paper |
\(\epsilon\)-optimality and \(\epsilon\)-duality of nonsmooth nonconvex multiobjective programming
Journal of Inner Mongolia University | 2016-03-07 | Paper |
Duality theorems for a class of generalized convex multi-objective programming problems
Journal of Inner Mongolia University | 2016-03-07 | Paper |
The Lagrangian multipliers, saddle points and duality of multi-objective programming in linear topological spaces
Journal of Inner Mongolia University | 2016-03-07 | Paper |
Generalized Kuhn-Tucker sufficient conditions for a class of nonconvex multi-objective programming in problems of Banach spaces
Journal of Inner Mongolia University | 2016-03-07 | Paper |
A scalarization theorem for vector extremal problems
Journal of Inner Mongolia University | 2016-03-07 | Paper |
Duality for a class of multiobjective fractional programming problems
Journal of Inner Mongolia University | 2016-03-07 | Paper |
Duality theory of multiobjective arcwise-convex programming
Journal of Inner Mongolia University | 2016-03-07 | Paper |
Properly efficient solutions to nonconvex nonsmooth vector extremal problems in ordered linear topological spaces
Journal of Inner Mongolia University | 2016-03-07 | Paper |
Sufficient conditions for optimality of multiobjective arcwise-convex programming
Journal of Inner Mongolia University | 2016-03-07 | Paper |
Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate
Journal of Industrial and Management Optimization | 2015-07-31 | Paper |
Optimal dividend-equity issuance strategy in a dual model with fixed and proportional transaction costs
Acta Mathematicae Applicatae Sinica. English Series | 2015-07-22 | Paper |
Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model
Insurance Mathematics \& Economics | 2015-05-26 | Paper |
Dynamic portfolio selection with mispricing and model ambiguity
Annals of Finance | 2015-03-24 | Paper |
Optimal investment strategies for an insurer under mean-variance in a dependent risk model
| 2014-06-30 | Paper |
Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
Insurance Mathematics \& Economics | 2014-06-23 | Paper |
Optimal reinsurance-investment strategies for insurers under mean-car criteria
Journal of Industrial and Management Optimization | 2014-05-16 | Paper |
Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
Insurance Mathematics \& Economics | 2014-04-25 | Paper |
Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion
Insurance Mathematics \& Economics | 2014-04-15 | Paper |
Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
Insurance Mathematics \& Economics | 2014-04-10 | Paper |
Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
Insurance Mathematics \& Economics | 2014-04-04 | Paper |
An optimal investment strategy under Ornstein-Uhlenbeck model for a DC pension plan
| 2014-02-28 | Paper |
Optimal portfolio strategies with mispricing and stochastic volatility
| 2014-02-28 | Paper |
Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets
International Journal of Control | 2014-01-09 | Paper |
Multi-period portfolio optimization for asset-liability management with bankrupt control
Applied Mathematics and Computation | 2013-12-23 | Paper |
Mean-VaR portfolio selection based on a particle swarm optimization algorithm
Acta Scientiarum Naturalium Universitatis Sunyatseni | 2013-11-19 | Paper |
Proper Pareto equilibria in multicriterian metagames
Journal of Inner Mongolia University | 2013-07-26 | Paper |
Proper saddle points and properly efficient solutions to constrained vector optimization problems
Journal of Inner Mongolia University | 2013-07-26 | Paper |
A scalarization theorem for Geoffrion's proper efficiency in multiobjective optimization
Journal of Inner Mongolia University | 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
Mathematical Problems in Engineering | 2013-06-11 | Paper |
Minimum risk probability for finite horizon semi-Markov decision processes
Journal of Mathematical Analysis and Applications | 2013-04-22 | Paper |
scientific article; zbMATH DE number 6130031 (Why is no real title available?)
| 2013-01-24 | Paper |
scientific article; zbMATH DE number 6129667 (Why is no real title available?)
| 2013-01-24 | Paper |
Continuous-time mean-variance optimal portfolio selection with regime switching when stock prices follow geometric Levy processes
Acta Scientiarum Naturalium Universitatis Sunyatseni | 2012-06-01 | Paper |
Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow
Insurance Mathematics \& Economics | 2012-05-11 | Paper |
Optimal investment-reinsurance policy for an insurance company with VaR constraint
Insurance Mathematics \& Economics | 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
Journal of Industrial and Management Optimization | 2011-12-28 | Paper |
Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market
Journal of Systems Science and Complexity | 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
Insurance Mathematics \& Economics | 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
Journal of Systems Science and Complexity | 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 |
scientific article; zbMATH DE number 5674947 (Why is no real title available?)
| 2010-02-25 | Paper |
scientific article; zbMATH DE number 5629903 (Why is no real title available?)
| 2009-11-11 | Paper |
Optimal investment with noise trading risk
Journal of Systems Science and Complexity | 2009-10-15 | Paper |
Multi-period portfolio selection for asset-liability management with uncertain investment horizon
Journal of Industrial and Management Optimization | 2009-05-26 | Paper |
ε-Conjugate maps andε-conjugate duality in vector optimization with set-valued maps
Optimization | 2009-01-23 | Paper |
Optimal dynamic portfolio selection with earnings-at-risk
Journal of Optimization Theory and Applications | 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
Insurance Mathematics \& Economics | 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
Theoretical Computer Science | 2007-01-09 | Paper |
OPTIMAL CONSTANT-REBALANCED PORTFOLIO INVESTMENT STRATEGIES FOR DYNAMIC PORTFOLIO SELECTION
International Journal of Theoretical and Applied Finance | 2006-09-12 | Paper |
scientific article; zbMATH DE number 5008178 (Why is no real title available?)
| 2006-02-21 | Paper |
A linear programming algorithm for optimal portfolio selection with transaction costs
International Journal of Systems Science. Principles and Applications of Systems and Integration | 2006-02-14 | Paper |
Algorithmic Applications in Management
Lecture Notes in Computer Science | 2005-11-30 | Paper |
COMPUTATIONAL COMPLEXITY OF ARBITRAGE IN FRICTIONAL SECURITY MARKET
International Journal of Foundations of Computer Science | 2005-06-22 | Paper |
A minimax portfolio selection strategy with equilibrium
European Journal of Operational Research | 2005-06-01 | Paper |
scientific article; zbMATH DE number 2165725 (Why is no real title available?)
| 2005-05-06 | Paper |
Necessary and sufficient conditions for weak no-arbitrage in securities markets with frictions
Annals of Operations Research | 2005-04-22 | Paper |
Optimal portfolio selection of assets with transaction costs and no short sales
| 2003-09-12 | Paper |
scientific article; zbMATH DE number 1932363 (Why is no real title available?)
| 2002-01-01 | Paper |
scientific article; zbMATH DE number 1559029 (Why is no real title available?)
| 2001-01-31 | Paper |
scientific article; zbMATH DE number 1696647 (Why is no real title available?)
| 2000-01-01 | Paper |
Global efficiency in multiobjective programming*
Optimization | 1999-11-22 | Paper |
Connectedness of super efficient sets in vector optimization of set-valued maps
Mathematical Methods of Operations Research | 1999-10-05 | Paper |
A theorem of the alternative and its application to the optimization of set-valued maps
Journal of Optimization Theory and Applications | 1999-05-17 | Paper |
ε-approximate solutions in multiobjective optimization
Optimization | 1999-02-02 | Paper |
Benson proper efficiency in the vector optimization of set-valued maps
Journal of Optimization Theory and Applications | 1999-01-06 | Paper |
A type of minimax inequality for vector-valued mappings
Journal of Mathematical Analysis and Applications | 1999-01-06 | Paper |
A minimax inequality for vector-valued mappings
Applied Mathematics Letters | 1999-01-01 | Paper |
Lagrangian multipliers, saddle points, and duality in vector optimization of set-valued maps
Journal of Mathematical Analysis and Applications | 1998-03-11 | Paper |
Super efficiency in vector optimization of set-valued maps
Progress in Natural Science | 1998-01-01 | Paper |
Two types of duality in multiobjective fractional programming
Bulletin of the Australian Mathematical Society | 1997-08-05 | Paper |
Paréto equilibria in multicriteria metagames
Top | 1996-08-01 | Paper |
scientific article; zbMATH DE number 800146 (Why is no real title available?)
| 1996-02-04 | Paper |
Scalarization and lagrange duality in multiobjective optimization
Optimization | 1995-03-27 | Paper |
Optimality conditions for multiobjecttve and nonsmooth minimisation in abstract spaces
Bulletin of the Australian Mathematical Society | 1995-02-26 | Paper |
Lagrange multipliers and saddle points in multiobjective programming
Journal of Optimization Theory and Applications | 1994-12-04 | Paper |
scientific article; zbMATH DE number 500378 (Why is no real title available?)
| 1994-03-17 | Paper |
scientific article; zbMATH DE number 411258 (Why is no real title available?)
| 1993-09-16 | Paper |
