[BUKU][B] Time-inconsistent control theory with finance applications
The purpose of this book is to present an overview of, and introduction to, the time-
inconsistent control theory developed by the authors during the last decade. The theory is …
inconsistent control theory developed by the authors during the last decade. The theory is …
The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
In single-period portfolio optimization settings, Mean-Variance (MV) optimization can result
in notoriously unstable asset allocations due to small changes in the underlying asset …
in notoriously unstable asset allocations due to small changes in the underlying asset …
[HTML][HTML] Reinsurance–investment game between two mean–variance insurers under model uncertainty
This paper investigates a class of robust non-zero-sum reinsurance–investment stochastic
differential games between two competing insurers under the time-consistent mean …
differential games between two competing insurers under the time-consistent mean …
Time-consistent mean–variance portfolio optimization: A numerical impulse control approach
We investigate the time-consistent mean–variance (MV) portfolio optimization problem,
popular in investment–reinsurance and investment-only applications, under a realistic …
popular in investment–reinsurance and investment-only applications, under a realistic …
Open-loop equilibrium reinsurance-investment strategy under mean–variance criterion with stochastic volatility
This paper investigates the open-loop equilibrium reinsurance-investment (RI) strategy
under general stochastic volatility (SV) models. We resolve difficulties arising from the …
under general stochastic volatility (SV) models. We resolve difficulties arising from the …
Robust reinsurance and investment strategies under principal–agent framework
N Wang, TK Siu, K Fan - Annals of Operations Research, 2024 - Springer
In this paper, a class of reinsurance contracting problems is examined under a continuous-
time principal–agent framework with mean-variance criteria, where a reinsurer and an …
time principal–agent framework with mean-variance criteria, where a reinsurer and an …
Optimal mean–variance asset-liability management with stochastic interest rates and inflation risks
J Pan, Q **ao - Mathematical Methods of Operations Research, 2017 - Springer
This paper considers an optimal asset-liability management problem with stochastic interest
rates and inflation risks under the mean–variance framework. It is assumed that there are n+ …
rates and inflation risks under the mean–variance framework. It is assumed that there are n+ …
Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee
This paper aims to propose referable asset allocation criteria for a defined-contribution (DC)
pension plan under stochastic interest rates and the minimum guarantee of inflation …
pension plan under stochastic interest rates and the minimum guarantee of inflation …
Robust reinsurance contracts with risk constraint
N Wang, TK Siu - Scandinavian Actuarial Journal, 2020 - Taylor & Francis
This paper aims to investigate optimal reinsurance contracts in a continuous-time modelling
framework from the perspective of a principal-agent problem. The reinsurer plays the role of …
framework from the perspective of a principal-agent problem. The reinsurer plays the role of …
[PDF][PDF] Mean-variance asset-liability management under CIR interest rate and the family of 4/2 stochastic volatility models with derivative trading
Y Zhang - J. Ind. Manag. Optim, 2023 - researchgate.net
This paper investigates the effects of derivative trading on the performance of asset-liability
management in the presence of stochastic interest rate and stochastic volatility under the …
management in the presence of stochastic interest rate and stochastic volatility under the …