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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…