6 citations · 10 across the 14 of their papers we have counts for
4 papers · 1 filter
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…
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…
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…