3 papers
q-fin.MF2025
A deep learning-driven iterative scheme for high-dimensional HJB equations in portfolio selection with exogenous and endogenous costs
Dong Yan, Nanyi Zhang, Junyi Guo
In this paper, we first conduct a study of the portfolio selection problem, incorporating both exogenous (proportional) and endogenous (resulting from liquidity risk, characterized…
math.OC2025
Dynamic reinsurance design with heterogeneous beliefs under the mean-variance framework
Junyi Guo, Xia Han, Hao Wang
This paper investigates the dynamic reinsurance design problem under the mean-variance criterion, incorporating heterogeneous beliefs between the insurer and the reinsurer, and int…
math.OC2025
A non-zero-sum game with reinforcement learning under mean-variance framework
Junyi Guo, Xia Han, Hao Wang +1
In this paper, we investigate a competitive market involving two agents who consider both their own wealth and the wealth gap with their opponent. Both agents can invest in a finan…