2 citations · 2 across the 5 of their papers we have counts for
5 papers
Equilibrium strategies for stochastic control problems with higher-order moments and applications to portfolio selection
Yike Wang, Jingzhen Liu, Jiaqin Wei
In this paper we derive a novel characterization result for time-consistent stochastic control problems with higher-order moments, originally formulated by Wang et al. [SIAM J. Con…
Time-consistent portfolio selection with monotone mean-variance preferences
Yike Wang, Yusha Chen, Jingzhen Liu
We investigate time-inconsistent portfolio problems under a broader class of monotone mean-variance (MMV) preferences. Since the optimal strategies for MMV and mean-variance (MV) p…
On stochastic control problems with higher-order moments
Yike Wang, Jingzhen Liu, Alain Bensoussan +2
In this paper, we focus on a class of time-inconsistent stochastic control problems, where the objective function includes the mean and several higher-order central moments of the…
Strictly monotone mean-variance preferences with applications to portfolio selection
Yike Wang, Yusha Chen, Jingzhen Liu +1
The monotone mean-variance (MMV) preference proposed by Maccheroni, et al. (Math. Finance 19(3): 487-521, 2009) fails to differentiate strictly dominant payoffs, which may cause in…
The optimal reinsurance strategy with price-competition between two reinsurers
Liyuan Lin, Fangda Liu, Jingzhen Liu abd Luyang Yu
We study optimal reinsurance in the framework of stochastic game theory, in which there is an insurer and two reinsurers. A Stackelberg model is established to analyze the non-coop…