6 citations · 10 across the 14 of their papers we have counts for
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q-fin.PM2023
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…
math.OC2023★ 2 cited
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…