49 citations · 49 across the 2 of their papers we have counts for
3 papers
q-fin.PM2009
The premium of dynamic trading
Chun Hung Chiu, Xun Yu Zhou
It is well established that in a market with inclusion of a risk-free asset the single-period mean-variance efficient frontier is a straight line tangent to the risky region, a fac…
math.PR2007★ 49 cited
Continuous-time mean-variance efficiency: the 80% rule
Xun Li, Xun Yu Zhou
This paper studies a continuous-time market where an agent, having specified an investment horizon and a targeted terminal mean return, seeks to minimize the variance of the return…
math.PR2005
Interplay between dividend rate and business constraints for a financial corporation
Tahir Choulli, Michael Taksar, Xun Yu Zhou
We study a model of a corporation which has the possibility to choose various production/business policies with different expected profits and risks. In the model there are restric…