5 citations · 12 across the 19 of their papers we have counts for
5 papers · 1 filter
Constrained monotone mean-variance problem with random coefficients
Ying Hu, Xiaomin Shi, Zuo Quan Xu
This paper studies the monotone mean-variance (MMV) problem and the classical mean-variance (MV) problem with convex cone trading constraints in a market with random coefficients.…
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…
Non-homogeneous stochastic LQ control with regime switching and random coefficients
Ying Hu, Xiaomin Shi, Zuo Quan Xu
This paper is concerned with a general non-homogeneous stochastic linear quadratic (LQ) control problem with regime switching and random coefficients. We obtain the explicit optima…
Continuous-time Markowitz's mean-variance model under different borrowing and saving rates
Chonghu Guan, Xiaomin Shi, Zuo Quan Xu
We study Markowitz's mean-variance portfolio selection problem in a continuous-time Black-Scholes market with different borrowing and saving rates. The associated Hamilton-Jacobi-B…