6 citations · 30 across the 63 of their papers we have counts for
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A Stackelberg reinsurance-investment game under -maxmin mean-variance criterion and stochastic volatility
Guohui Guan, Zongxia Liang, Yilun Song
This paper investigates a Stackelberg game between an insurer and a reinsurer under the -maxmin mean-variance criterion. The insurer can purchase per-loss reinsurance from the r…
Comparison Between Mean-Variance and Monotone Mean-Variance Preferences Under Jump Diffusion and Stochastic Factor Model
Yuchen Li, Zongxia Liang, Shunzhi Pang
This paper compares the optimal investment problems based on monotone mean-variance (MMV) and mean-variance (MV) preferences in the Lévy market with an untradable stochastic factor…
Continuous-Time Monotone Mean-Variance Portfolio Selection in Jump-Diffusion Model
Yuchen Li, Zongxia Liang, Shunzhi Pang
We study continuous-time portfolio selection under monotone mean-variance (MMV) preferences in a jump-diffusion model, presenting an explicit solution different from that under cla…
The continuous-time pre-commitment KMM problem in incomplete markets
Guohui Guan, Zongxia Liang, Yilun Song
This paper studies the continuous-time pre-commitment KMM problem proposed by Klibanoff, Marinacci and Mukerji (2005) in incomplete financial markets, which concerns with the portf…
Modern Tontine with Transaction Costs
Lin He, Zongxia Liang, Sheng Wang
In this paper, we propose a new type of reversible modern tontine with transaction costs. The wealth of the retiree is divided into a bequest account and a tontine account. And con…
Consumption-investment decisions with endogenous reference point and drawdown constraint
Zongxia Liang, Xiaodong Luo, Fengyi Yuan
We propose a consumption-investment decision model where past consumption peak plays a crucial role. There are two important consumption levels: the lowest constrained level an…