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Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets 期刊论文
SIAM JOURNAL ON FINANCIAL MATHEMATICS, 2021, 卷号: 12, 期号: 3, 页码: 1054-1111
作者:  Wang, Xiangyu;  Xia, Jianming
收藏  |  浏览/下载：124/0  |  提交时间：2022/04/02
expected utility maximization  stochastic dominance  tail risk management  risk sharing  quantile formulation  
Flexible decision models for a two-dimensional warranty policy with periodic preventive maintenance 期刊论文
RELIABILITY ENGINEERING & SYSTEM SAFETY, 2017, 卷号: 162, 页码: 14-27
作者:  Wang, Jinting;  Zhou, Zhuang;  Peng, Hao
收藏  |  浏览/下载：101/0  |  提交时间：2018/07/30
Warranty policy  Periodic preventive maintenance  Failure rate model  Nash equilibrium  Stackelberg equilibrium  Upgrade level  
Decomposition by Successive Convex Approximation: A Unifying Approach for Linear Transceiver Design in Heterogeneous Networks 期刊论文
IEEE TRANSACTIONS ON WIRELESS COMMUNICATIONS, 2016, 卷号: 15, 期号: 2, 页码: 1377-1392
作者:  Hong, Mingyi;  Li, Qiang;  Liu, Ya-Feng
收藏  |  浏览/下载：115/0  |  提交时间：2018/07/30
BSUM  Decomposition Algorithms  HetNet  Precoder Design  SCA  
Coordinated Beamforming for MISO Interference Channel: Complexity Analysis and Efficient Algorithms 期刊论文
IEEE TRANSACTIONS ON SIGNAL PROCESSING, 2011, 卷号: 59, 期号: 3, 页码: 1142-1157
作者:  Liu, Ya-Feng;  Dai, Yu-Hong;  Luo, Zhi-Quan
收藏  |  浏览/下载：86/0  |  提交时间：2018/07/30
Complexity  coordinated beamforming  cyclic coordinate descent algorithm  global convergence  MISO interference channel  
Optimal martingale measure maximizing the expected total utility of consumption with applications to derivative pricing 期刊论文
OPTIMIZATION, 2008, 卷号: 57, 期号: 5, 页码: 691-703
作者:  Li, Ping;  Wang, Shou-Yang
收藏  |  浏览/下载：111/0  |  提交时间：2018/07/30
martingale measure  derivative pricing  optimal consumption  incomplete market  utility maximization  
Optimal investment for an insurer: The martingale approach 期刊论文
INSURANCE MATHEMATICS & ECONOMICS, 2007, 卷号: 40, 期号: 2, 页码: 322-334
作者:  Wang, Zengwu;  Xia, Jianming;  Zhang, Lihong
收藏  |  浏览/下载：123/0  |  提交时间：2018/07/30
mean-variance efficient portfolio  martingale approach  forward-backward stochastic differential equation (FBSDE)  insurer  
Mean-variance portfolio choice: Quadratic partial hedging 期刊论文
MATHEMATICAL FINANCE, 2005, 卷号: 15, 期号: 3, 页码: 533-538
作者:  Xia, JM
收藏  |  浏览/下载：125/0  |  提交时间：2018/07/30
mean-variance portfolios  utility maximization  partial hedging  incomplete markets  
anoteonthemeanvariancecriteriafordiscretetimefinancialmarkets 期刊论文
actamathematicaeapplicataesinica, 2005, 卷号: 021, 期号: 004, 页码: 693
作者:  Liu Xinhua
收藏  |  浏览/下载：108/0  |  提交时间：2020/01/10
Multi-agent investment in incomplete markets 期刊论文
FINANCE AND STOCHASTICS, 2004, 卷号: 8, 期号: 2, 页码: 241-259
作者:  Xia, JM
收藏  |  浏览/下载：138/0  |  提交时间：2018/07/30
cooperative investment  Pareto optimum  core  incomplete markets