1 citations · 1 across the 2 of their papers we have counts for
3 papers
q-fin.MF2019★ 1 cited
Horizon-unbiased Investment with Ambiguity
Qian Lin, Xianming Sun, Chao Zhou
In the presence of ambiguity on the driving force of market randomness, we consider the dynamic portfolio choice without any predetermined investment horizon. The investment criter…
q-fin.MF2015
Dynamic indifference pricing via the G-expectation
Qian Lin
We study the dynamic indifference pricing with ambiguity preferences. For this, we introduce the dynamic expected utility with ambiguity via the nonlinear expectation--G-expectatio…
math.PR2011
Nash equilibrium payoffs for stochastic differential games with jumps and coupled nonlinear cost functionals
Qian Lin
In this paper we investigate Nash equilibrium payoffs for two-player nonzero-sum stochastic differential games whose cost functionals are defined by a system of coupled backward st…