1 citations · 2 across the 2 of their papers we have counts for
5 papers
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…
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…
Recursive utility optimization with concave coefficients
Shaolin Ji, Xiaomin Shi
This paper concerns the recursive utility maximization problem. We assume that the coefficients of the wealth equation and the recursive utility are concave. Then some interesting…
Explicit solutions for continuous time mean-variance portfolio selection with nonlinear wealth equations
Shaolin Ji, Xiaomin Shi
This paper concerns the continuous time mean-variance portfolio selection problem with a special nonlinear wealth equation. This nonlinear wealth equation has a nonsmooth coefficie…
Recursive utility maximization under partial information
Shaolin Ji, Xiaomin Shi
This paper concerns the recursive utility maximization problem under partial information. We first transform our problem under partial information into the one under full informati…