5 citations · 10 across the 16 of their papers we have counts for
4 papers · 1 filter
Constrained stochastic linear quadratic control under regime switching with controlled jump size
Xiaomin Shi, Zuo Quan Xu
In this paper, we examine a stochastic linear-quadratic control problem characterized by regime switching and Poisson jumps. All the coefficients in the problem are random processe…
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…
Mean-variance portfolio selection in jump-diffusion model under no-shorting constraint: A viscosity solution approach
Xiaomin Shi, Zuo Quan Xu
This paper concerns a continuous time mean-variance (MV) portfolio selection problem in a jump-diffusion financial model with no-shorting trading constraint. The problem is reduced…
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…