| Publication | Date of Publication | Type |
|---|
Equilibrium investment strategy with learning about equity return
Journal of Systems Science and Complexity | 2025-07-30 | Paper |
Optimal reinsurance strategy with mean-variance premium principle and relative performance concern
RAIRO. Operations Research | 2025-01-20 | Paper |
Target benefit versus defined contribution scheme: a multi-period framework
ASTIN Bulletin | 2024-07-09 | Paper |
Stochastic differential reinsurance and investment games with delay under VaR constraints⋆
Communications in Statistics: Theory and Methods | 2024-02-23 | Paper |
Optimal investment-consumption and life insurance strategy with mispricing and model ambiguity
Methodology and Computing in Applied Probability | 2023-08-16 | Paper |
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 investment strategy for multi-period DC pension funds with stochastic interest rate and regime switching
Journal of Industrial and Management Optimization | 2023-03-29 | Paper |
An accurate European option pricing model under fractional stable process based on Feynman path integral
Physica A | 2022-06-27 | Paper |
Nonparametric mean-lower partial moment model and enhanced index investment
Computers & Operations Research | 2022-06-22 | Paper |
Optimal health insurance with constraints under utility of health, wealth and income
Journal of Industrial and Management Optimization | 2022-06-09 | Paper |
Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk
Journal of Industrial and Management Optimization | 2022-02-16 | Paper |
Optimal investment and risk control problems with delay for an insurer in defaultable market
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 |
Continuous-time mean-variance portfolio selection with no-shorting constraints and regime-switching
Journal of Industrial and Management Optimization | 2020-07-16 | Paper |
Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks
Insurance Mathematics & Economics | 2019-11-28 | Paper |
Continuous-time mean-variance optimization for defined contribution pension funds with regime-switching
International Journal of Theoretical and Applied Finance | 2019-11-08 | Paper |
A smooth non-parametric estimation framework for safety-first portfolio optimization
Quantitative Finance | 2019-02-06 | Paper |
The premium of dynamic trading in a discrete-time setting
Quantitative Finance | 2018-11-13 | Paper |
Dynamic asset-liability management in a Markov market with stochastic cash flows
Quantitative Finance | 2018-11-13 | 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 |
Index tracking model, downside risk and non-parametric kernel estimation
Journal of Economic Dynamics and Control | 2018-08-13 | Paper |
Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
Insurance Mathematics & Economics | 2018-06-15 | Paper |
Optimal investment management for a defined contribution pension fund under imperfect information
Insurance Mathematics & Economics | 2018-04-12 | Paper |
SIMULATION OF MULTI-ASSET OPTION GREEKS UNDER A SPECIAL LÉVY MODEL BY MALLIAVIN CALCULUS
The ANZIAM Journal | 2017-10-17 | 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 |
Multi-period defined contribution pension funds investment management with regime-switching and mortality risk
Insurance Mathematics & Economics | 2016-12-14 | 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 |
Efficient simulation of Greeks of multiasset European and Asian style options by Malliavin calculus and quasi-Monte Carlo methods
Applied Mathematics and Computation | 2016-04-21 | Paper |
Characterization of efficient frontier for mean-variance model with a drawdown constraint
Applied Mathematics and Computation | 2016-01-18 | Paper |
Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate
Journal of Industrial and Management Optimization | 2015-07-31 | Paper |
Uncertain exit time multi-period mean-variance portfolio selection with endogenous liabilities and Markov jumps
Automatica | 2015-06-25 | Paper |
| A multi-period mean-variance portfolio selection with serially correlated returns of risky assets | 2015-02-11 | Paper |
Continuous-time mean-variance asset-liability management with endogenous liabilities
Insurance Mathematics & Economics | 2014-07-16 | Paper |
Markowitz's mean-variance defined contribution pension fund management under inflation: a continuous-time model
Insurance Mathematics & Economics | 2014-06-23 | Paper |
Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework
Insurance Mathematics & Economics | 2014-06-23 | Paper |
Social choice rules implemented in dominant strategies
Economics Letters | 2013-01-28 | Paper |
| The maximal linearly independent group of assets and the two-fund separation theorem | 2011-09-29 | Paper |
| Portfolio model and its explicit expressions of portfolio efficient frontier with minimum investment proportion constraint | 2010-07-08 | Paper |
A characterization of dictatorial social choice correspondences with continuous preferences
Mathematical Social Sciences | 2008-06-19 | Paper |
| The equivalent conditions of dictatorship for social welfare functions | 2008-04-04 | Paper |
| The efficient frontier and optimal strategies of mutual funds | 2007-06-11 | Paper |
| Efficient frontier and optimal strategies of mutual funds | 2007-04-05 | Paper |
| scientific article; zbMATH DE number 2202054 (Why is no real title available?) | 2005-09-05 | Paper |
