Zhou Xun Yu

Xun Yu Zhou

Information about the author Xun Yu Zhou will soon be added to the site.
Found 8 papers in total
Technical Note–Path-Dependent and Randomized Strategies in Barberis’ Casino Gambling Model
Technical Note–Path-Dependent and Randomized Strategies in Barberis’ Casino Gambling Model
2017
We consider the dynamic casino gambling model initially proposed by Barberis (2012)...
Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
2011
We formulate and carry out an analytical treatment of a single‐period portfolio...
Tracking a financial benchmark using a few assets
Tracking a financial benchmark using a few assets
2006
We study the problem of tracking a financial benchmark – a continuously...
Mean-variance portfolio selection with random parameters in a complete market
Mean-variance portfolio selection with random parameters in a complete market
2002
The paper concerns the continuous-time, mean-variance portfolio selection problems in...
Stochastic linear–quadratic control via semidefinite programming
Stochastic linear–quadratic control via semidefinite programming
2001
We study stochastic linear–quadratic (LQ) optimal control problems over an...
Portfolio optimization under a minimax rule
Portfolio optimization under a minimax rule
2000
This paper provides a new portfolio selection rule. The objective is to minimize the...
Approximating an optimal production policy in a continuous flow line: Recurrence and asymptotic properties
Approximating an optimal production policy in a continuous flow line: Recurrence and asymptotic properties
1999
This work is concerned with manufacturing systems with two failure-prone tandem...
Optimal feedback controls in deterministic dynamic two-machine flowshops
Optimal feedback controls in deterministic dynamic two-machine flowshops
1996
This paper studies deterministic dynamic two-machine flowshops. Optimal feedback...
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