2 citations · 2 across the 5 of their papers we have counts for
5 papers
Robust optimal investment and risk control for an insurer with general insider information
Chao Yu, Yuhan Cheng, Yilun Song
In this paper, we study the robust optimal investment and risk control problem for an insurer who owns the insider information about the financial market and the insurance market u…
Malliavin calculus and its application to robust optimal portfolio for an insider
Chao Yu, Yuhan Cheng
Insider information and model uncertainty are two unavoidable problems for the portfolio selection theory in reality. This paper studies the robust optimal portfolio strategy for a…
Adaptive Sign Error Control
Chaoyu Yu, Peter D. Hoff
In multiple testing scenarios, typically the sign of a parameter is inferred when its estimate exceeds some significance threshold in absolute value. Typically, the significance th…
Exact adaptive confidence intervals for linear regression coefficients
Peter D. Hoff, Chaoyu Yu
We propose an adaptive confidence interval procedure (CIP) for the coefficients in the normal linear regression model. This procedure has a frequentist coverage rate that is consta…
Adaptive multigroup confidence intervals with constant coverage
Chaoyu Yu, Peter D. Hoff
Confidence intervals for the means of multiple normal populations are often based on a hierarchical normal model. While commonly used interval procedures based on such a model have…