Yang Hailiang

Hailiang Yang

Information about the author Hailiang Yang will soon be added to the site.
Found 7 papers in total
Portfolio optimization in a regime-switching market with derivatives
Portfolio optimization in a regime-switching market with derivatives
2014
We consider the optimal asset allocation problem in a continuous‐time...
On the decomposition of the absolute ruin probability in a perturbed compound Poisson surplus process with debit interest
On the decomposition of the absolute ruin probability in a perturbed compound Poisson surplus process with debit interest
2014
We consider a compound Poisson surplus process perturbed by diffusion with debit...
Optimal Asset Allocation: A Worst Scenario Expectation Approach
Optimal Asset Allocation: A Worst Scenario Expectation Approach
2012
Mean‐variance criterion has long been the main stream approach in the optimal...
Equilibruim approach of asset pricing under Lévy process
Equilibruim approach of asset pricing under Lévy process
2012
This work considers the equilibrium approach of asset pricing for Lévy process....
Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
2011
In this paper we consider the dividend payments and capital injections control problem...
Classical and Impulse Control for the Optimization of Dividend and Proportional Reinsurance Policies with Regime Switching
Classical and Impulse Control for the Optimization of Dividend and Proportional Reinsurance Policies with Regime Switching
2010
We consider the optimal proportional reinsurance and dividend strategy. The surplus...
Necessary and sufficient conditions for weak no-arbitrage in securities markets with frictions
Necessary and sufficient conditions for weak no-arbitrage in securities markets with frictions
2005
In this paper we consider a financial market model with frictions which include...
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