no code implementations • 4 Dec 2023 • Chonghu Guan, Jiacheng Fan, Zuo Quan Xu
This paper studies an optimal dividend payout problem with drawdown constraint in a Brownian motion model, where the dividend payout rate must be no less than a fixed proportion of its historical running maximum.
no code implementations • 5 Sep 2023 • Hui Mi, Zuo Quan Xu, Dongfang Yang
This paper investigates an optimal investment problem under the tail Value at Risk (tail VaR, also known as expected shortfall, conditional VaR, average VaR) and portfolio insurance constraints confronted by a defined-contribution pension member.
no code implementations • 29 Aug 2023 • Chonghu Guan, Zuo Quan Xu
Otherwise, by contrast, the optimal dividend ratcheting strategy relays on the surplus level and one should only ratchet up the dividend payout rate when the surplus level touches the dividend ratcheting free boundary.
no code implementations • 18 Apr 2023 • Zhuo Jin, Zuo Quan Xu, Bin Zou
Due to the presence of the incentive compatibility constraint and the nonconcavity of the distortion, the optimal contract is obtained as a solution to a double obstacle problem.
no code implementations • 14 Apr 2023 • Yunhong Li, Zuo Quan Xu, Xun Yu Zhou
We study a continuous-time expected utility maximization problem in which the investor at maturity receives the value of a contingent claim in addition to the investment payoff from the financial market.
no code implementations • 29 Dec 2022 • 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.
no code implementations • 10 Nov 2022 • Jing Peng, Pengyu Wei, Zuo Quan Xu
This paper studies a continuous-time optimal portfolio selection problem in the complete market for a behavioral investor whose preference is of the prospect type with probability distortion.
no code implementations • 4 Jan 2022 • 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.
no code implementations • 29 Dec 2021 • Pengyu Wei, Zuo Quan Xu
This paper studies a mean-risk portfolio choice problem for log-returns in a continuous-time, complete market.
no code implementations • 14 Sep 2021 • Chonghu Guan, Zuo Quan Xu, Fahuai Yi
We overcome this by transforming it into an equivalent stochastic control problem in which the control constraint is state-independent so that the standard theory can be applied.
no code implementations • 16 Aug 2021 • Zuo Quan Xu
This paper investigates a Pareto optimal insurance problem, where the insured maximizes her rank-dependent utility preference and the insurer is risk neutral and employs the mean-variance premium principle.
no code implementations • 10 Aug 2021 • Yichun Chi, Zuo Quan Xu, Sheng Chao Zhuang
In this paper, we examine the effect of background risk on portfolio selection and optimal reinsurance design under the criterion of maximizing the probability of reaching a goal.
no code implementations • 12 Dec 2020 • Zhuo Jin, Zuo Quan Xu, Bin Zou
We study an optimal dividend problem for an insurer who simultaneously controls investment weights in a financial market, liability ratio in the insurance business, and dividend payout rate.
no code implementations • 15 Nov 2020 • Xuefeng Gao, Zuo Quan Xu, Xun Yu Zhou
We study the temperature control problem for Langevin diffusions in the context of non-convex optimization.
no code implementations • 2 Aug 2020 • Hyun Jin Jang, Zuo Quan Xu, Harry Zheng
The optimal heterogeneous consumption strategies for a class of non-homothetic utility maximizer are shown to consume only basic goods when the wealth is small, to consume basic goods and make savings when the wealth is intermediate, and to consume almost all in luxury goods when the wealth is large.
no code implementations • 2 Aug 2020 • Chonghu Guan, Zuo Quan Xu, Rui Zhou
This paper studies a dynamic optimal reinsurance and dividend-payout problem for an insurance company in a finite time horizon.
no code implementations • 20 Jan 2019 • Zuo Quan Xu, Fahuai Yi
This is called drift uncertainty.
no code implementations • 10 Jan 2019 • Jie Xiong, Zuo Quan Xu, Jiayu Zheng
In this paper, we study the mean-variance portfolio selection problem under partial information with drift uncertainty.
no code implementations • 7 Mar 2018 • Zuo Quan Xu
This paper investigates Pareto optimal (PO, for short) insurance contracts in a behavioral finance framework, in which the insured evaluates contracts by the rank-dependent utility (RDU) theory and the insurer by the expected value premium principle.