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Dividend optimization for jump-diffusion model with solvency constraints 期刊论文
OPERATIONS RESEARCH LETTERS, 2020, 卷号: 48, 期号: 2, 页码: 170-175
Authors:  Li, Yongwu;  Li, Zhongfei;  Wang, Shouyang;  Xu, Zuo Quan
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Dividend payment  Jump-diffusion  Solvency constraints  Barrier strategy  Partial integro-differential equation  
Multi-period mean variance portfolio selection under incomplete information 期刊论文
APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, 2016, 卷号: 32, 期号: 6, 页码: 753-774
Authors:  Zhang, Ling;  Li, Zhongfei;  Xu, Yunhui;  Li, Yongwu
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hidden Markov chain  regime switching  sufficient statistics  portfolio optimization  
Equilibrium Dividend Strategy with Non-exponential Discounting in a Dual Model 期刊论文
JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 2016, 卷号: 168, 期号: 2, 页码: 699-722
Authors:  Li, Yongwu;  Li, Zhongfei;  Zeng, Yan
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Non-exponential discount function  Equilibrium strategy  Dividend payment  Dual model  Hamilton-Jacobi-Bellman equation  
Equilibrium Investment Strategy for DC Pension Plan with Inflation and Stochastic Income under Heston's SV Model 期刊论文
MATHEMATICAL PROBLEMS IN ENGINEERING, 2016, 页码: 18
Authors:  Sun, Jingyun;  Li, Zhongfei;  Li, Yongwu
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Continuous-time portfolio selection with liability: Mean-variance model and stochastic LQ approach 期刊论文
INSURANCE MATHEMATICS & ECONOMICS, 2008, 卷号: 42, 期号: 3, 页码: 943-953
Authors:  Xie, Shuxiang;  Li, Zhongfei;  Wang, Shouyang
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portfolio selection  asset-liability management  continuous-time  mean-variance model  stochastic linear-quadratic control  
Computation of arbitrage in frictional bond markets 期刊论文
THEORETICAL COMPUTER SCIENCE, 2006, 卷号: 363, 期号: 3, 页码: 248-256
Authors:  Cai, Mao-cheng;  Deng, Xiaotie;  Li, Zhongfei
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frictional market  weak no-arbitrage  computational complexity  NP-hard  
摩擦市场的最优消费-投资组合选择 期刊论文
系统科学与数学, 2004, 卷号: 024, 期号: 003, 页码: 406
Authors:  李仲飞;  汪寿阳
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EaR风险度量与动态投资决策 期刊论文
数量经济技术经济研究, 2003, 卷号: 000, 期号: 001, 页码: 45
Authors:  汪寿阳;  李仲飞
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摩擦市场的利率期限结构的无套利分析 期刊论文
系统科学与数学, 2002, 卷号: 022, 期号: 003, 页码: 285
Authors:  李仲飞;  汪寿阳;  邓小铁
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有摩擦金融市场中强无套利的刻画 期刊论文
系统工程理论与实践, 2002, 卷号: 022, 期号: 010, 页码: 60
Authors:  汪寿阳;  李仲飞;  邓小铁
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