63 citations · 191 across the 6 of their papers we have counts for
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q-fin.PM2015★ 1 cited
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…
q-fin.PM2014★ 63 cited
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…
q-fin.PM2013★ 38 cited
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…