Information about the author Xun Li will soon be added to the site.
Better than pre-committed optimal mean-variance policy in a jump diffusion market
Dynamic mean‐variance investment model can not be solved by dynamic programming...
Continuous time portfolio selection under conditional capital at risk
Portfolio optimization with respect to different risk measures is of interest to both...
On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices
This study presents a simple but powerful approximation approach that is both accurate...
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