118 citations · 344 across the 34 of their papers we have counts for
9 papers · 1 filter
-robust utility maximization with intractable claims: A quantile optimization approach
Xinyu Chen, Zuo Quan Xu
This paper studies an -robust utility maximization problem where an investor faces an intractable claim -- an exogenous contingent claim with known marginal distribution but uns…
Optimal Management of DC Pension Plan with Inflation Risk and Tail VaR Constraint
Hui Mi, Zuo Quan Xu, Dongfang Yang
This paper investigates an optimal investment problem under the tail Value at Risk (tail VaR, also known as expected shortfall, conditional VaR, average VaR) and portfolio insuranc…
Relative growth rate optimization under behavioral criterion
Jing Peng, Pengyu Wei, Zuo Quan Xu
This paper studies a continuous-time optimal portfolio selection problem in the complete market for a behavioral investor whose preference is of the prospect type with probability…
A consumption-investment model with state-dependent lower bound constraint on consumption
Chonghu Guan, Zuo Quan Xu, Fahuai Yi
This paper studies a life-time consumption-investment problem under the Black-Scholes framework, where the consumption rate is subject to a lower bound constraint that linearly dep…
Optimal Investment, Heterogeneous Consumption and Best Time for Retirement
Hyun Jin Jang, Zuo Quan Xu, Harry Zheng
This paper studies an optimal investment and consumption problem with heterogeneous consumption of basic and luxury goods, together with the choice of time for retirement. The util…
Mean-variance portfolio selection under partial information with drift uncertainty
Jie Xiong, Zuo quan Xu, Jiayu Zheng
In this paper, we study the mean-variance portfolio selection problem under partial information with drift uncertainty. First we show that the market model is complete even in this…
An Optimal Consumption-Investment Model with Constraint on Consumption
Zuo Quan Xu, Fahuai Yi
A continuous-time consumption-investment model with constraint is considered for a small investor whose decisions are the consumption rate and the allocation of wealth to a risk-fr…
Continuous-Time Markowitz's Model with Transaction Costs
Min Dai, Zuo Quan Xu, Xun Yu Zhou
A continuous-time Markowitz's mean-variance portfolio selection problem is studied in a market with one stock, one bond, and proportional transaction costs. This is a singular stoc…
A Convex Stochastic Optimization Problem Arising from Portfolio Selection
Hanqing Jin, Zuo Quan Xu, Xun Yu Zhou
A continuous-time financial portfolio selection model with expected utility maximization typically boils down to solving a (static) convex stochastic optimization problem in terms…