118 citations · 344 across the 34 of their papers we have counts for
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math.PR2022★ 1 cited
Optimal consumption-investment with coupled constraints on consumption and investment strategies in a regime switching market with random coefficients
Ying Hu, Xiaomin Shi, Zuo Quan Xu
This paper studies finite-time optimal consumption-investment problems with power, logarithmic and exponential utilities, in a regime switching market with random coefficients, sub…
math.PR2022
-Expectation of Distributions
Mingyu Xu, Zuo Quan Xu, Xun Yu Zhou
We define -expectation of a distribution as the infimum of the -expectations of all the terminal random variables sharing that distribution. We present two special cases for…
math.PR2020★ 1 cited
Minimal Quantile Functions Subject to Stochastic Dominance Constraints
Xiangyu Wang, Jianming Xia, Zuo Quan Xu +1
We consider a problem of finding an SSD (second-order stochastic dominance)-minimal quantile function subject to the mixture of FSD (first-order stochastic dominance) and SSD const…