1 citations · 2 across the 4 of their papers we have counts for
4 papers
A deep learning-driven iterative scheme for high-dimensional HJB equations in portfolio selection with exogenous and endogenous costs
Dong Yan, Nanyi Zhang, Junyi Guo
In this paper, we first conduct a study of the portfolio selection problem, incorporating both exogenous (proportional) and endogenous (resulting from liquidity risk, characterized…
A non-zero-sum game with reinforcement learning under mean-variance framework
Junyi Guo, Xia Han, Hao Wang +1
In this paper, we investigate a competitive market involving two agents who consider both their own wealth and the wealth gap with their opponent. Both agents can invest in a finan…
Dynamic reinsurance design with heterogeneous beliefs under the mean-variance framework
Junyi Guo, Xia Han, Hao Wang
This paper investigates the dynamic reinsurance design problem under the mean-variance criterion, incorporating heterogeneous beliefs between the insurer and the reinsurer, and int…
Optimal Singular Dividend Problem under the Sparre Anderson Model
Linlin Tian, Lihua Bai, Junyi Guo
Consider an insurance company for which the reserve process follows the Sparre Anderson model. In this paper, we study the optimal dividend problem for such a company as Bai, Ma an…