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Zuo Quan XU
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Cited by
Cited by
Year
Thou shalt buy and hold
A Shiryaev, Z Xu, XY Zhou
Quantitative finance 8 (8), 765-776, 2008
1742008
Continuous-time Markowitz's model with transaction costs
M Dai, ZQ Xu, XY Zhou
SIAM Journal on Financial Mathematics 1 (1), 96-125, 2010
1022010
Optimal stopping under probability distortion
ZQ Xu, XY Zhou
Annals of Applied Probability 23 (1), 251-282, 2013
882013
A convex stochastic optimization problem arising from portfolio selection
H Jin, ZQ Xu, XY Zhou
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2008
862008
Optimal insurance under rank‐dependent utility and incentive compatibility
ZQ Xu, XY Zhou, SC Zhuang
Mathematical Finance 29 (2), 659-692, 2019
712019
A note on the quantile formulation
ZQ Xu
Mathematical Finance 26 (3), 589-601, 2016
622016
Optimal redeeming strategy of stock loans with finite maturity
M Dai, ZQ Xu
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2011
542011
Stochastic linear quadratic optimal control problem: a reinforcement learning method
N Li, X Li, J Peng, ZQ Xu
IEEE Transactions on Automatic Control 67 (9), 5009-5016, 2022
392022
A new characterization of comonotonicity and its application in behavioral finance
ZQ Xu
Journal of Mathematical Analysis and Applications 418 (2), 612-625, 2014
32*2014
State-dependent temperature control for Langevin diffusions
X Gao, ZQ Xu, XY Zhou
SIAM Journal on Control and Optimization 60 (3), 1250-1268, 2022
302022
A robust Markowitz mean-variance portfolio selection model with an intractable claim
D Hou, ZQ Xu
SIAM Journal on Financial Mathematics 7 (1), 124-151, 2016
272016
Optimal insurance in the presence of reinsurance
SC Zhuang, TJ Boonen, KS Tan, ZQ Xu
Scandinavian Actuarial Journal 2017 (6), 535-554, 2017
262017
Constrained stochastic LQ control with regime switching and application to portfolio selection
Y Hu, X Shi, ZQ Xu
The Annals of Applied Probability 32 (1), 426-460, 2022
232022
Continuous-time Markowitz’s model with constraints on wealth and portfolio
X Li, ZQ Xu
Operations research letters 44 (6), 729-736, 2016
202016
Dual utilities on risk aggregation under dependence uncertainty
R Wang, ZQ Xu, XY Zhou
Finance and Stochastics 23 (4), 1025-1048, 2019
172019
An optimal consumption-investment model with constraint on consumption
ZQ Xu, F Yi
Mathematical Control and Related Fields 6, 517-534, 2016
172016
Utility maximization under trading constraints with discontinuous utility
B Bian, X Chen, ZQ Xu
SIAM Journal on Financial Mathematics 10 (1), 243-260, 2019
152019
Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory
H Mi, ZQ Xu
Insurance: Mathematics and Economics 110, 82-105, 2023
122023
Mean–variance portfolio selection under partial information with drift uncertainty
J Xiong, ZQ Xu, J Zheng
Quantitative Finance 21 (9), 1461-1473, 2021
122021
A stochastic control problem and related free boundaries in finance
C Guan, X Li, ZQ Xu, F Yi
Mathematical control and related fields 7 (4), 563-584, 2017
122017
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