Saved in:
| Main Authors: | Liang, Zongxia, Ye, Qi |
|---|---|
| Format: | Preprint |
| Published: |
2024
|
| Subjects: | |
| Online Access: | https://arxiv.org/abs/2405.09339 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Despite Absolute Information Advantages, All Investors Incur Welfare Loss
by: Liang, Zongxia, et al.
Published: (2024)
by: Liang, Zongxia, et al.
Published: (2024)
Robust mean-variance stochastic differential reinsurance and investment games under volatility risk and model uncertainty
by: Guan, Guohui, et al.
Published: (2024)
by: Guan, Guohui, et al.
Published: (2024)
Optimal Underreporting and Competitive Equilibrium
by: Liang, Zongxia, et al.
Published: (2026)
by: Liang, Zongxia, et al.
Published: (2026)
Mean-field game of mean-variance portfolio management with peer-based relative risk aversion
by: Cheng, Weilun, et al.
Published: (2026)
by: Cheng, Weilun, et al.
Published: (2026)
Optimal Reinsurance under Endogenous Default and Background Risk
by: Liang, Zongxia, et al.
Published: (2025)
by: Liang, Zongxia, et al.
Published: (2025)
Equilibrium Investment with Random Risk Aversion: (Non-)uniqueness, Optimality, and Comparative Statics
by: Cheng, Weilun, et al.
Published: (2025)
by: Cheng, Weilun, et al.
Published: (2025)
Stackelberg reinsurance and premium decisions with MV criterion and irreversibility
by: Liang, Zongxia, et al.
Published: (2024)
by: Liang, Zongxia, et al.
Published: (2024)
Time-inconsistent mean field and n-agent games under relative performance criteria
by: Liang, Zongxia, et al.
Published: (2023)
by: Liang, Zongxia, et al.
Published: (2023)
A Two-layer Stochastic Game Approach to Reinsurance Contracting and Competition
by: Liang, Zongxia, et al.
Published: (2024)
by: Liang, Zongxia, et al.
Published: (2024)
Continuous-Time Monotone Mean-Variance Portfolio Selection in Jump-Diffusion Model
by: Li, Yuchen, et al.
Published: (2022)
by: Li, Yuchen, et al.
Published: (2022)
A Mean Field Game Approach to Relative Investment-Consumption Games with Habit Formation
by: Liang, Zongxia, et al.
Published: (2024)
by: Liang, Zongxia, et al.
Published: (2024)
Many-insurer robust games of reinsurance and investment under model uncertainty in incomplete markets
by: Guan, Guohui, et al.
Published: (2024)
by: Guan, Guohui, et al.
Published: (2024)
Retirement decision with addictive habit persistence in a jump diffusion market
by: Guan, Guohui, et al.
Published: (2020)
by: Guan, Guohui, et al.
Published: (2020)
An Integral Equation in Portfolio Selection with Time-Inconsistent Preferences
by: Liang, Zongxia, et al.
Published: (2024)
by: Liang, Zongxia, et al.
Published: (2024)
Optimal nonparametric estimation of the expected shortfall risk
by: Bartl, Daniel, et al.
Published: (2024)
by: Bartl, Daniel, et al.
Published: (2024)
Tackling estimation risk in Kelly investing using options
by: Lillo, Fabrizio, et al.
Published: (2025)
by: Lillo, Fabrizio, et al.
Published: (2025)
Decentralized Annuity: A Quest for the Holy Grail of Lifetime Financial Security
by: Runhuan, Feng, et al.
Published: (2025)
by: Runhuan, Feng, et al.
Published: (2025)
Optimal hedging with variational preferences under convex risk measures
by: Righi, Marcelo
Published: (2024)
by: Righi, Marcelo
Published: (2024)
Optimal risk-aware interest rates for decentralized lending protocols
by: Baude, Bastien, et al.
Published: (2025)
by: Baude, Bastien, et al.
Published: (2025)
Optimal post-retirement investment under longevity risk in collective funds
by: Armstrong, John, et al.
Published: (2024)
by: Armstrong, John, et al.
Published: (2024)
Dynamic portfolio selection under generalized disappointment aversion
by: Liang, Zongxia, et al.
Published: (2024)
by: Liang, Zongxia, et al.
Published: (2024)
Distributionally robust risk evaluation with a causality constraint and structural information
by: Han, Bingyan
Published: (2022)
by: Han, Bingyan
Published: (2022)
An empirical study of market risk factors for Bitcoin
by: Singh, Shubham
Published: (2024)
by: Singh, Shubham
Published: (2024)
Market information of the fractional stochastic regularity model
by: Angelini, Daniele, et al.
Published: (2024)
by: Angelini, Daniele, et al.
Published: (2024)
SPX-VIX Risk Computations Via Perturbed Optimal Transport
by: Che, Charlie, et al.
Published: (2026)
by: Che, Charlie, et al.
Published: (2026)
Mathematical foundations of information economics
by: Gonchar, N. S.
Published: (2025)
by: Gonchar, N. S.
Published: (2025)
Solvability of the Gaussian Kyle model with imperfect information and risk aversion
by: Chhaibi, Reda, et al.
Published: (2025)
by: Chhaibi, Reda, et al.
Published: (2025)
Optimal reinsurance in a dynamic contagion model: comparing self-exciting and externally-exciting risks
by: Ceci, Claudia, et al.
Published: (2024)
by: Ceci, Claudia, et al.
Published: (2024)
Learning to optimize convex risk measures: The cases of utility-based shortfall risk and optimized certainty equivalent risk
by: Gupte, Sumedh, et al.
Published: (2025)
by: Gupte, Sumedh, et al.
Published: (2025)
Optimal mutual insurance against systematic longevity risk
by: Armstrong, John, et al.
Published: (2024)
by: Armstrong, John, et al.
Published: (2024)
Multi-asset return risk measures
by: Laudagé, Christian, et al.
Published: (2024)
by: Laudagé, Christian, et al.
Published: (2024)
Robust risk measures: an averaging approach
by: Righi, Marcelo, et al.
Published: (2026)
by: Righi, Marcelo, et al.
Published: (2026)
Optimal Carbon Emission Control With Allowances Purchasing
by: Chen, Xinfu, et al.
Published: (2024)
by: Chen, Xinfu, et al.
Published: (2024)
Distortion risk measures of sums of two counter-monotonic risks
by: Huang, Chunle
Published: (2025)
by: Huang, Chunle
Published: (2025)
Risk measures based on target risk profiles
by: Alexander, Jascha, et al.
Published: (2024)
by: Alexander, Jascha, et al.
Published: (2024)
Long‐term risk with stochastic interest rates
by: Federico Severino
Published: (2024)
by: Federico Severino
Published: (2024)
Systemic risk in markets with multiple central counterparties
by: Luitgard Anna Maria Veraart, et al.
Published: (2024)
by: Luitgard Anna Maria Veraart, et al.
Published: (2024)
Local risk-minimization for exponential additive processes
by: Arai, Takuji
Published: (2026)
by: Arai, Takuji
Published: (2026)
Optimal Liquidation of Perpetual Contracts
by: Donnelly, Ryan, et al.
Published: (2026)
by: Donnelly, Ryan, et al.
Published: (2026)
Deep Penalty Methods: A Class of Deep Learning Algorithms for Solving High Dimensional Optimal Stopping Problems
by: Peng, Yunfei, et al.
Published: (2024)
by: Peng, Yunfei, et al.
Published: (2024)
Similar Items
-
Despite Absolute Information Advantages, All Investors Incur Welfare Loss
by: Liang, Zongxia, et al.
Published: (2024) -
Robust mean-variance stochastic differential reinsurance and investment games under volatility risk and model uncertainty
by: Guan, Guohui, et al.
Published: (2024) -
Optimal Underreporting and Competitive Equilibrium
by: Liang, Zongxia, et al.
Published: (2026) -
Mean-field game of mean-variance portfolio management with peer-based relative risk aversion
by: Cheng, Weilun, et al.
Published: (2026) -
Optimal Reinsurance under Endogenous Default and Background Risk
by: Liang, Zongxia, et al.
Published: (2025)