1 citations · 2 across the 2 of their papers we have counts for
2 papers
q-fin.PM2024★ 1 cited
Constrained mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients
Xiaomin Shi, Zuo Quan Xu
In this paper, we study an optimal mean-variance investment-reinsurance problem for an insurer (she) under a Cramér-Lundberg model with random coefficients. At any time, the insure…
math.OC2024★ 1 cited
Mean-variance portfolio selection in jump-diffusion model under no-shorting constraint: A viscosity solution approach
Xiaomin Shi, Zuo Quan Xu
This paper concerns a continuous time mean-variance (MV) portfolio selection problem in a jump-diffusion financial model with no-shorting trading constraint. The problem is reduced…