5 citations · 10 across the 16 of their papers we have counts for
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q-fin.PM2025
Optimal mean-variance portfolio selection under regime-switching-induced stock price shocks
Xiaomin Shi, Zuo Quan Xu
In this paper, we investigate mean-variance (MV) portfolio selection problems with jumps in a regime-switching financial model. The novelty of our approach lies in allowing not onl…
q-fin.PM2024★ 1 cited
Constrained mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients
Xiaomin Shi, Zuo Quan Xu
In this paper, we study an optimal mean-variance investment-reinsurance problem for an insurer (she) under a Cramér-Lundberg model with random coefficients. At any time, the insure…
q-fin.PM2024
Constrained monotone mean--variance investment-reinsurance under the Cramér--Lundberg model with random coefficients
Xiaomin Shi, Zuo Quan Xu
This paper studies an optimal investment-reinsurance problem for an insurer (she) under the Cramér--Lundberg model with monotone mean--variance (MMV) criterion. At any time, the in…