63 citations · 191 across the 6 of their papers we have counts for
6 papers
Pareto optimal moral-hazard-free insurance contracts in behavioral finance framework
Zuo Quan Xu
This paper investigates Pareto optimal (PO, for short) insurance contracts in a behavioral finance framework, in which the insured evaluates contracts by the rank-dependent utility…
Continuous-Time Mean-Variance Portfolio Selection with Constraints on Wealth and Portfolio
Xun Li, Zuo Quan Xu
We consider continuous-time mean-variance portfolio selection with bankruptcy prohibition under convex cone portfolio constraints. This is a long-standing and difficult problem not…
A Note on the Quantile Formulation
Zuo Quan Xu
Many investment models in discrete or continuous-time settings boil down to maximizing an objective of the quantile function of the decision variable. This quantile optimization pr…
A New Characterization of Comonotonicity and its Application in Behavioral Finance
Zuo Quan Xu
It is well-known that an -valued random vector is comonotonic if and only if and c…
Optimal stopping under probability distortion
Zuo Quan Xu, Xun Yu Zhou
We formulate an optimal stopping problem for a geometric Brownian motion where the probability scale is distorted by a general nonlinear function. The problem is inherently time in…
Optimal Redeeming Strategy of Stock Loans
Min Dai, Zuo Quan Xu
A stock loan is a loan, secured by a stock, which gives the borrower the right to redeem the stock at any time before or on the loan maturity. The way of dividends distribution has…