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…
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…
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.…