6 citations · 10 across the 14 of their papers we have counts for
19 papers
Uber-Join: Unifying Diverse Table Joins using LLMs with Precision and Cost Guarantees
Guohui Guan, Chang Ge, Yeye He
When two tables from different sources are joined, the values that should join often differ in spelling, format, or meaning, and fuzzy-, transformation-, and semantic-joins each ha…
Time-Inconsistent Singular Dividend Control with Regime Switching and Bankruptcy
Xiaochen Chen, Guohui Guan, Zongxia Liang +1
This paper studies infinite-horizon equilibrium dividend distribution for a firm whose surplus follows a diffusion under observable Markov regime switching and is absorbed at bankr…
Equilibrium singular dividend control under ambiguity aggregation of heterogeneous discount rates
Yue Cao, Guohui Guan, Zongxia Liang +1
This paper studies a singular dividend control problem for a firm with heterogeneous shareholders whose discount rates follow a given distribution. The central planner aggregates e…
Time-Inconsistent Singular Control Problems with a Running Minimum Process
Rui Dai, Guohui Guan, Zongxia Liang +1
This paper develops a time-inconsistent and path-dependent singular control framework incorporating a running minimum process. We derive a verification theorem that characterizes e…
Robust Utility Maximization with Intractable Claims under Distributional Ambiguity: A Random Distributionally Robust Optimization Approach
Guohui Guan, Zongxia Liang, Xingjian Ma
This paper studies a robust utility maximization problem for intractable claims under distributional ambiguity, where the distribution of the claim cannot be inferred from market i…
N-player and mean field games among fund managers considering excess logarithmic returns
Guohui Guan, Jiaqi Hu, Zongxia Liang
This paper studies the competition among multiple fund managers with relative performance over the excess logarithmic return. Fund managers compete with each other and have expecte…
Consumption-portfolio choice with preferences for liquid assets
Guohui Guan, Jiaqi Hu, Zongxia Liang
This paper investigates an infinite horizon, discounted, consumption-portfolio problem in a market with one bond, one liquid risky asset, and one illiquid risky asset with proporti…
Robust mean-variance stochastic differential reinsurance and investment games under volatility risk and model uncertainty
Guohui Guan, Zongxia Liang, Yi Xia
This paper investigates robust stochastic differential games among insurers under model uncertainty and stochastic volatility. The surplus processes of ambiguity-averse insurers (A…
Many-insurer robust games of reinsurance and investment under model uncertainty in incomplete markets
Guohui Guan, Zongxia Liang, Yi Xia
This paper studies the robust reinsurance and investment games for competitive insurers. Model uncertainty is characterized by a class of equivalent probability measures. Each insu…
Equilibrium portfolio selection under beliefs-dependent utilities
Xiaochen Chen, Guohui Guan, Zongxia Liang
This paper investigates portfolio selection within a continuous-time financial market with regime-switching and beliefs-dependent utilities. The market coefficients and the investo…
Robust Portfolio Selection under State-dependent Confidence Set
Guohui Guan, Yuting Jia, Zongxia Liang
This paper studies the robust portfolio selection problem under a state-dependent confidence set. The investor invests in a financial market with a risk-free asset and a risky asse…
Optimal VPPI strategy under Omega ratio with stochastic benchmark
Guohui Guan, Lin He, Zongxia Liang +1
This paper studies a variable proportion portfolio insurance (VPPI) strategy. The objective is to determine the risk multiplier by maximizing the extended Omega ratio of the invest…
Optimal management of DB pension fund under both underfunded and overfunded cases
Guohui Guan, Zongxia Liang, Yi Xia
This paper investigates the optimal management of an aggregated defined benefit pension plan in a stochastic environment. The interest rate follows the Ornstein-Uhlenbeck model, th…
Equilibrium Portfolio Selection for Smooth Ambiguity Preferences
Guohui Guan, Zongxia Liang, Jianming Xia
This paper investigates the equilibrium portfolio selection for smooth ambiguity preferences in a continuous-time market. The investor is uncertain about the risky asset's drift te…
A Stackelberg reinsurance-investment game under -maxmin mean-variance criterion and stochastic volatility
Guohui Guan, Zongxia Liang, Yilun Song
This paper investigates a Stackelberg game between an insurer and a reinsurer under the -maxmin mean-variance criterion. The insurer can purchase per-loss reinsurance from the r…
The continuous-time pre-commitment KMM problem in incomplete markets
Guohui Guan, Zongxia Liang, Yilun Song
This paper studies the continuous-time pre-commitment KMM problem proposed by Klibanoff, Marinacci and Mukerji (2005) in incomplete financial markets, which concerns with the portf…
Robust equilibrium strategies in a defined benefit pension plan game
Guohui Guan, Jiaqi Hu, Zongxia Liang
This paper investigates the robust {non-zero-sum} games in an aggregated {overfunded} defined benefit (abbr. DB) pension plan. The sponsoring firm is concerned with the investment…
Optimal management of DC pension fund under relative performance ratio and VaR constraint
Guohui Guan, Zongxia Liang, Yi xia
In this paper, we investigate the optimal management of defined contribution (abbr. DC) pension plan under relative performance ratio and Value-at-Risk (abbr. VaR) constraint. Infl…
Retirement decision with addictive habit persistence in a jump diffusion market
Guohui Guan, Qitao Huang, Zongxia Liang +1
This paper investigates the optimal retirement decision, investment, and consumption strategies in a market with jump diffusion, taking into account habit persistence and stock-wag…