118 citations · 344 across the 34 of their papers we have counts for
4 papers · 1 filter
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…
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…
-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…
Stochastic linear-quadratic control with a jump and regime switching on a random horizon
Ying Hu, Xiaomin Shi, Zuo Quan Xu
In this paper, we study a stochastic linear-quadratic control problem with random coefficients and regime switching on a horizon , where is a given random jump ti…