2 citations · 3 across the 7 of their papers we have counts for
7 papers
Optimal Tracking Portfolio with A Ratcheting Capital Benchmark
Lijun Bo, Huafu Liao, Xiang Yu
This paper studies the finite horizon portfolio management by optimally tracking a ratcheting capital benchmark process. It is assumed that the fund manager can dynamically inject…
Probabilistic Analysis of Replicator-Mutator Equations
Lijun Bo, Huafu Liao
This paper introduces a general class of Replicator-Mutator equations on a multi-dimensional fitness space. We establish a novel probabilistic representation of weak solutions of t…
Optimal Dividend Strategy for an Insurance Group with Contagious Default Risk
Zhuo Jin, Huafu Liao, Yue Yang +1
This paper studies the optimal dividend for a multi-line insurance group, in which each subsidiary runs a product line and is exposed to some external credit risk. The default cont…
Large Sample Mean-Field Stochastic Optimization
Lijun Bo, Agostino Capponi, Huafu Liao
We study a class of sampled stochastic optimization problems, where the underlying state process has diffusive dynamics of the mean-field type. We establish the existence of optima…
Risk-Sensitive Credit Portfolio Optimization under Partial Information and Contagion Risk
Lijun Bo, Huafu Liao, Xiang Yu
This paper investigates the finite horizon risk-sensitive portfolio optimization in a regime-switching credit market with physical and information-induced default contagion. It is…
Optimal Credit Investment and Risk Control for an Insurer with Regime-Switching
Lijun Bo, Huafu Liao, Yongjin Wang
This paper studies an optimal investment and risk control problem for an insurer with default contagion and regime-switching. The insurer in our model allocates his/her wealth acro…
Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching
Lijun Bo, Huafu Liao, Xiang Yu
We study an open problem of risk-sensitive portfolio allocation in a regime-switching credit market with default contagion. The state space of the Markovian regime-switching proces…