Huayue Zhang

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Optimal investment problem with a tracking-error constraint under prospect theory Journal of Industrial and Management Optimization	2026-02-23	Paper
Optimal pairs trading of mean-reverting processes over multiple assets Numerical Algebra, Control and Optimization	2023-07-26	Paper
Optimal proportional reinsurance and pairs trading under exponential utility criterion for the insurer Journal of Industrial and Management Optimization	2022-11-14	Paper
A multiperiod equilibrium pricing model Journal of Applied Mathematics	2019-02-01	Paper
Investment-consumption with regime-switching discount rates Mathematical Social Sciences	2014-10-08	Paper
Optimal investment, consumption and life insurance under mean-reverting returns: the complete market solution Insurance Mathematics & Economics	2014-04-14	Paper
Dynamic below-target semi-variance risk measure in a fractional Black-Scholes market Acta Mathematica Scientia. Series A. (Chinese Edition)	2012-10-05	Paper
Optimal excess-of-loss reinsurance and dividend payments with both transaction costs and taxes Quantitative Finance	2010-12-20	Paper
Ruin probability of a special risk model	2010-07-08	Paper
scientific article; zbMATH DE number 5631000 (Why is no real title available?)	2009-11-11	Paper
Total duration of negative surplus for the risk model with debit interest Statistics & Probability Letters	2009-06-09	Paper
Dynamic mean-variance problem with constrained risk control for the insurers Mathematical Methods of Operations Research	2009-03-25	Paper
DYNAMIC MEAN-VARIANCE OPTIMIZATION UNDER CLASSICAL RISK MODEL WITH FRACTIONAL BROWNIAN MOTION PERTURBATION Infinite Dimensional Analysis, Quantum Probability and Related Topics	2009-02-26	Paper
Ruin probabilities of a surplus process described by PDMPs Acta Mathematicae Applicatae Sinica. English Series	2008-05-26	Paper
The Gerber-Shiu discounted penalty function for classical risk model with a two-step premium rate Statistics & Probability Letters	2006-06-30	Paper

Research outcomes over time

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