118 citations · 344 across the 34 of their papers we have counts for
4 papers · 1 filter
Dynamic growth-optimum portfolio choice under risk control
Pengyu Wei, Zuo Quan Xu
This paper studies a mean-risk portfolio choice problem for log-returns in a continuous-time, complete market. This is a growth-optimal problem with risk control. The risk of log-r…
Moral-hazard-free insurance: mean-variance premium principle and rank-dependent utility theory
Zuo Quan Xu
This paper investigates a Pareto optimal insurance problem, where the insured maximizes her rank-dependent utility preference and the insurer is risk neutral and employs the mean-v…
Distributionally robust goal-reaching optimization in the presence of background risk
Yichun Chi, Zuo Quan Xu, Sheng Chao Zhuang
In this paper, we examine the effect of background risk on portfolio selection and optimal reinsurance design under the criterion of maximizing the probability of reaching a goal.…
Investment under Duality Risk Measure
Zuo Quan Xu
One index satisfies the duality axiom if one agent, who is uniformly more risk-averse than another, accepts a gamble, the latter accepts any less risky gamble under the index. Auma…