| Publication | Date of Publication | Type |
|---|
Cash-subadditive risk measures without quasi-convexity
Mathematics of Operations Research | 2026-06-12 | Paper |
Equilibrium portfolio selection for smooth ambiguity preferences
Mathematics of Operations Research | 2025-06-02 | Paper |
Short communication: an integral equation in portfolio selection with time-inconsistent preferences
SIAM Journal on Financial Mathematics | 2025-03-05 | Paper |
Short communication: mean-stochastic-dominance portfolio selection in continuous time
SIAM Journal on Financial Mathematics | 2024-12-04 | Paper |
Optimal investment with risk controlled by weighted entropic risk measures
SIAM Journal on Financial Mathematics | 2024-05-06 | Paper |
| Equilibrium Portfolio Selection for Smooth Ambiguity Preferences | 2023-02-16 | Paper |
Short communication: minimal quantile functions subject to stochastic dominance constraints
SIAM Journal on Financial Mathematics | 2022-09-23 | Paper |
Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets
SIAM Journal on Financial Mathematics | 2021-11-05 | Paper |
| Cash-subadditive risk measures without quasi-convexity | 2021-10-23 | Paper |
Arrow-Debreu equilibria for rank-dependent utilities with heterogeneous probability weighting
Mathematical Finance | 2019-10-31 | Paper |
Arrow-Debreu equilibria for rank-dependent utilities
Mathematical Finance | 2016-07-15 | Paper |
Mean-variance hedging in the discontinuous case
(available as arXiv preprint) | 2013-06-12 | Paper |
Risk aversion and portfolio selection in a continuous-time model
SIAM Journal on Control and Optimization | 2012-02-11 | Paper |
| Convex duality theory for optimal investment | 2009-05-22 | Paper |
STOCK LOANS
Mathematical Finance | 2007-10-29 | Paper |
Optimal investment for an insurer: the martingale approach
Insurance Mathematics & Economics | 2007-09-03 | Paper |
MARKOWITZ'S PORTFOLIO OPTIMIZATION IN AN INCOMPLETE MARKET
Mathematical Finance | 2006-06-12 | Paper |
MEAN–VARIANCE PORTFOLIO CHOICE: QUADRATIC PARTIAL HEDGING
Mathematical Finance | 2005-09-28 | Paper |
Cooperative Hedging in Incomplete Markets
Stochastic Analysis and Applications | 2005-09-15 | Paper |
A new look at some basic concepts in arbitrage pricing theory
Science in China. Series A | 2005-08-30 | Paper |
Multi-agent investment in incomplete markets
Finance and Stochastics | 2004-11-24 | Paper |
Diving gains between a client and her agent
Finance and Stochastics | 2004-03-16 | Paper |
Minimal martingale measures for discrete-time incomplete financial markets
Acta Mathematicae Applicatae Sinica. English Series | 2003-06-18 | Paper |
| scientific article; zbMATH DE number 1867103 (Why is no real title available?) | 2003-02-11 | Paper |
Locally risk-minimizing strategies in discrete time incomplete financial markets
Chinese Science Bulletin | 2002-02-18 | Paper |
A finite discrete-time model of financial markets.
Advances in Mathematics (Beijing) | 2002-01-29 | Paper |
Backward stochastic differential equation with random measures
Acta Mathematicae Applicatae Sinica. English Series | 2000-10-15 | Paper |
