11 citations · 13 across the 7 of their papers we have counts for
4 papers · 1 filter
Optimal dividend payout with path-dependent drawdown constraint
Chonghu Guan, Jiacheng Fan, Zuo Quan Xu
This paper studies an optimal dividend problem with a drawdown constraint in a Brownian motion model, requiring the dividend payout rate to remain above a fixed proportion of its h…
Optimal ratcheting of dividend payout under Brownian motion surplus
Chonghu Guan, Zuo Quan Xu
This paper is concerned with a long standing optimal dividend payout problem subject to the so-called ratcheting constraint, that is, the dividend payout rate shall be non-decreasi…
Continuous-time Markowitz's mean-variance model under different borrowing and saving rates
Chonghu Guan, Xiaomin Shi, Zuo Quan Xu
We study Markowitz's mean-variance portfolio selection problem in a continuous-time Black-Scholes market with different borrowing and saving rates. The associated Hamilton-Jacobi-B…
Dynamic optimal reinsurance and dividend-payout in finite time horizon
Chonghu Guan, Zuo Quan Xu, Rui Zhou
This paper studies a dynamic optimal reinsurance and dividend-payout problem for an insurance company in a finite time horizon. The goal of the company is to maximize the expected…