Ma, Yue; Li, Zhongfei Robust portfolio choice with limited attention. (English) Zbl 07804308 Electron. Res. Arch. 31, No. 7, 3666-3687 (2023). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{Y. Ma} and \textit{Z. Li}, Electron. Res. Arch. 31, No. 7, 3666--3687 (2023; Zbl 07804308) Full Text: DOI
Sun, Jingyun; Yao, Haixiang; Li, Zhongfei Robust optimal investment strategy for a DC pension plan in the market with mispricing and constant elasticity of variance. (English) Zbl 1524.91092 J. Ind. Manag. Optim. 19, No. 10, 7540-7564 (2023). MSC: 91G05 91B16 93E20 PDFBibTeX XMLCite \textit{J. Sun} et al., J. Ind. Manag. Optim. 19, No. 10, 7540--7564 (2023; Zbl 1524.91092) Full Text: DOI
Shi, Ailing; Li, Xingyi; Li, Zhongfei Optimal portfolio selection with life insurance under subjective survival belief and habit formation. (English) Zbl 1524.91109 J. Ind. Manag. Optim. 19, No. 4, 2464-2484 (2023). MSC: 91G10 91G05 93E20 PDFBibTeX XMLCite \textit{A. Shi} et al., J. Ind. Manag. Optim. 19, No. 4, 2464--2484 (2023; Zbl 1524.91109) Full Text: DOI
Chen, Zheng; Li, Zhongfei; Zeng, Yan Portfolio choice with illiquid asset for a loss-averse pension fund investor. (English) Zbl 1507.91170 Insur. Math. Econ. 108, 60-83 (2023). MSC: 91G05 91G10 60G46 PDFBibTeX XMLCite \textit{Z. Chen} et al., Insur. Math. Econ. 108, 60--83 (2023; Zbl 1507.91170) Full Text: DOI
Bian, Lihua; Li, Zhongfei; Yao, Haixiang Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate. (English) Zbl 1476.91141 J. Ind. Manag. Optim. 17, No. 3, 1383-1410 (2021). MSC: 91G10 93C55 93E20 PDFBibTeX XMLCite \textit{L. Bian} et al., J. Ind. Manag. Optim. 17, No. 3, 1383--1410 (2021; Zbl 1476.91141) Full Text: DOI
Wang, Pei; Li, Zhongfei; Sun, Jingyun Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity. (English) Zbl 1460.91242 Optimization 70, No. 1, 191-224 (2021). MSC: 91G05 91G10 PDFBibTeX XMLCite \textit{P. Wang} et al., Optimization 70, No. 1, 191--224 (2021; Zbl 1460.91242) Full Text: DOI
Kang, Zhilin; Li, Xingyi; Li, Zhongfei Mean-CVaR portfolio selection model with ambiguity in distribution and attitude. (English) Zbl 1476.91152 J. Ind. Manag. Optim. 16, No. 6, 3065-3081 (2020). MSC: 91G10 62G35 90C15 91G70 PDFBibTeX XMLCite \textit{Z. Kang} et al., J. Ind. Manag. Optim. 16, No. 6, 3065--3081 (2020; Zbl 1476.91152) Full Text: DOI
Wu, Xianping; Li, Xun; Li, Zhongfei A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with probability constraints. (English) Zbl 1412.90099 J. Ind. Manag. Optim. 14, No. 1, 249-265 (2018). MSC: 90C15 91B30 PDFBibTeX XMLCite \textit{X. Wu} et al., J. Ind. Manag. Optim. 14, No. 1, 249--265 (2018; Zbl 1412.90099) Full Text: DOI
Bian, Lihua; Li, Zhongfei; Yao, Haixiang Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause. (English) Zbl 1416.91159 Insur. Math. Econ. 81, 78-94 (2018). MSC: 91B30 60J20 90C39 91G10 PDFBibTeX XMLCite \textit{L. Bian} et al., Insur. Math. Econ. 81, 78--94 (2018; Zbl 1416.91159) Full Text: DOI
Wang, Pei; Li, Zhongfei Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility. (English) Zbl 1402.91217 Insur. Math. Econ. 80, 67-83 (2018). MSC: 91B30 90C15 90C39 91G10 91G30 PDFBibTeX XMLCite \textit{P. Wang} and \textit{Z. Li}, Insur. Math. Econ. 80, 67--83 (2018; Zbl 1402.91217) Full Text: DOI
Kang, Zhilin; Li, Zhongfei An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution. (English) Zbl 1388.91139 Math. Methods Oper. Res. 87, No. 2, 169-195 (2018). MSC: 91G10 91G70 PDFBibTeX XMLCite \textit{Z. Kang} and \textit{Z. Li}, Math. Methods Oper. Res. 87, No. 2, 169--195 (2018; Zbl 1388.91139) Full Text: DOI
Chen, Shumin; Li, Zhongfei; Zeng, Yan Optimal dividend strategy for a general diffusion process with time-inconsistent preferences and ruin penalty. (English) Zbl 1408.91227 SIAM J. Financ. Math. 9, No. 1, 274-314 (2018). MSC: 91G50 60J70 PDFBibTeX XMLCite \textit{S. Chen} et al., SIAM J. Financ. Math. 9, No. 1, 274--314 (2018; Zbl 1408.91227) Full Text: DOI
Zhang, Weiwei; Li, Zhongfei; Fu, Ke; Wang, Fan Effect of the return policy in a continuous-time newsvendor problem. (English) Zbl 1405.91087 Asia-Pac. J. Oper. Res. 34, No. 6, Article ID 1750031, 28 p. (2017). MSC: 91A65 91A23 91A15 91B42 34K50 60J60 60J75 PDFBibTeX XMLCite \textit{W. Zhang} et al., Asia-Pac. J. Oper. Res. 34, No. 6, Article ID 1750031, 28 p. (2017; Zbl 1405.91087) Full Text: DOI
Chen, Zheng; Li, Zhongfei; Zeng, Yan; Sun, Jingyun Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk. (English) Zbl 1394.91203 Insur. Math. Econ. 75, 137-150 (2017). MSC: 91B30 91G10 93E20 PDFBibTeX XMLCite \textit{Z. Chen} et al., Insur. Math. Econ. 75, 137--150 (2017; Zbl 1394.91203) Full Text: DOI
Yao, Haixiang; Li, Zhongfei; Li, Xun; Zeng, Yan Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset. (English) Zbl 1361.90047 J. Ind. Manag. Optim. 13, No. 3, 1273-1290 (2017). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{H. Yao} et al., J. Ind. Manag. Optim. 13, No. 3, 1273--1290 (2017; Zbl 1361.90047) Full Text: DOI
Yao, Haixiang; Li, Zhongfei; Li, Xingyi The premium of dynamic trading in a discrete-time setting. (English) Zbl 1400.91571 Quant. Finance 16, No. 8, 1237-1257 (2016). MSC: 91G10 PDFBibTeX XMLCite \textit{H. Yao} et al., Quant. Finance 16, No. 8, 1237--1257 (2016; Zbl 1400.91571) Full Text: DOI
A, Chunxiang; Li, Zhongfei; Wang, Fan Optimal investment strategy under time-inconsistent preferences and high-water mark contract. (English) Zbl 1408.91188 Oper. Res. Lett. 44, No. 2, 212-218 (2016). MSC: 91G10 91G80 49L20 93E20 PDFBibTeX XMLCite \textit{C. A} et al., Oper. Res. Lett. 44, No. 2, 212--218 (2016; Zbl 1408.91188) Full Text: DOI
Yao, Haixiang; Li, Zhongfei; Li, Duan Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability. (English) Zbl 1346.91224 Eur. J. Oper. Res. 252, No. 3, 837-851 (2016). MSC: 91G10 91G30 91G80 90C15 90C39 PDFBibTeX XMLCite \textit{H. Yao} et al., Eur. J. Oper. Res. 252, No. 3, 837--851 (2016; Zbl 1346.91224) Full Text: DOI
Sun, Jingyun; Li, Zhongfei; Zeng, Yan Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model. (English) Zbl 1348.91261 Insur. Math. Econ. 67, 158-172 (2016). MSC: 91G10 60J75 91B30 93E20 PDFBibTeX XMLCite \textit{J. Sun} et al., Insur. Math. Econ. 67, 158--172 (2016; Zbl 1348.91261) Full Text: DOI
Li, Yongwu; Li, Zhongfei; Zeng, Yan Equilibrium dividend strategy with non-exponential discounting in a dual model. (English) Zbl 1335.91065 J. Optim. Theory Appl. 168, No. 2, 699-722 (2016). MSC: 91G10 93E20 91A10 60H30 PDFBibTeX XMLCite \textit{Y. Li} et al., J. Optim. Theory Appl. 168, No. 2, 699--722 (2016; Zbl 1335.91065) Full Text: DOI
Yao, Haixiang; Li, Zhongfei; Lai, Yongzeng Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate. (English) Zbl 1317.90248 J. Ind. Manag. Optim. 12, No. 1, 187-209 (2016). MSC: 90C26 91G10 91G80 49N15 PDFBibTeX XMLCite \textit{H. Yao} et al., J. Ind. Manag. Optim. 12, No. 1, 187--209 (2016; Zbl 1317.90248) Full Text: DOI
Chen, Shumin; Li, Zhongfei; Zeng, Yan Optimal dividend strategies with time-inconsistent preferences. (English) Zbl 1402.91671 J. Econ. Dyn. Control 46, 150-172 (2014). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{S. Chen} et al., J. Econ. Dyn. Control 46, 150--172 (2014; Zbl 1402.91671) Full Text: DOI
Yi, Bo; Li, Zhongfei; Viens, Frederi G.; Zeng, Yan Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model. (English) Zbl 1290.91103 Insur. Math. Econ. 53, No. 3, 601-614 (2013). MSC: 91B30 91B70 91G30 60J65 90C15 PDFBibTeX XMLCite \textit{B. Yi} et al., Insur. Math. Econ. 53, No. 3, 601--614 (2013; Zbl 1290.91103) Full Text: DOI
Zeng, Yan; Li, Zhongfei; Wu, Huiling Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets. (English) Zbl 1278.91155 Int. J. Control 86, No. 3, 426-437 (2013). MSC: 91G10 91G80 93E20 PDFBibTeX XMLCite \textit{Y. Zeng} et al., Int. J. Control 86, No. 3, 426--437 (2013; Zbl 1278.91155) Full Text: DOI
Li, Chanjuan; Li, Zhongfei Multi-period portfolio optimization for asset-liability management with bankrupt control. (English) Zbl 1279.91146 Appl. Math. Comput. 218, No. 22, 11196-11208 (2012). MSC: 91G10 90C39 PDFBibTeX XMLCite \textit{C. Li} and \textit{Z. Li}, Appl. Math. Comput. 218, No. 22, 11196--11208 (2012; Zbl 1279.91146) Full Text: DOI
Zhang, Ling; Li, Zhongfei Multi-period mean-variance portfolio selection with uncertain time horizon when returns are serially correlated. (English) Zbl 1264.91121 Math. Probl. Eng. 2012, Article ID 216891, 17 p. (2012). MSC: 91G10 PDFBibTeX XMLCite \textit{L. Zhang} and \textit{Z. Li}, Math. Probl. Eng. 2012, Article ID 216891, 17 p. (2012; Zbl 1264.91121) Full Text: DOI
Wu, Huiling; Li, Zhongfei Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow. (English) Zbl 1237.91210 Insur. Math. Econ. 50, No. 3, 371-384 (2012). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{H. Wu} and \textit{Z. Li}, Insur. Math. Econ. 50, No. 3, 371--384 (2012; Zbl 1237.91210) Full Text: DOI
Zeng, Yan; Li, Zhongfei Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market. (English) Zbl 1237.91224 J. Syst. Sci. Complex. 24, No. 2, 317-327 (2011). MSC: 91G50 60J70 93E20 PDFBibTeX XMLCite \textit{Y. Zeng} and \textit{Z. Li}, J. Syst. Sci. Complex. 24, No. 2, 317--327 (2011; Zbl 1237.91224) Full Text: DOI
Wu, Huiling; Li, Zhongfei Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon. (English) Zbl 1231.91415 J. Syst. Sci. Complex. 24, No. 1, 140-155 (2011). MSC: 91G10 49L20 PDFBibTeX XMLCite \textit{H. Wu} and \textit{Z. Li}, J. Syst. Sci. Complex. 24, No. 1, 140--155 (2011; Zbl 1231.91415) Full Text: DOI
Chen, Shumin; Li, Zhongfei; Li, Kemian Optimal investment-reinsurance policy for an insurance company with VaR constraint. (English) Zbl 1231.91155 Insur. Math. Econ. 47, No. 2, 144-153 (2010). MSC: 91B30 60H30 PDFBibTeX XMLCite \textit{S. Chen} et al., Insur. Math. Econ. 47, No. 2, 144--153 (2010; Zbl 1231.91155) Full Text: DOI
Li, Zhongfei; Tan, Ken Seng; Yang, Hailiang Multiperiod optimal investment-consumption strategies with mortality risk and environment uncertainty. (English) Zbl 1481.91198 N. Am. Actuar. J. 12, No. 1, 47-64 (2008). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{Z. Li} et al., N. Am. Actuar. J. 12, No. 1, 47--64 (2008; Zbl 1481.91198) Full Text: DOI
Xie, Shuxiang; Li, Zhongfei; Wang, Shouyang Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach. (English) Zbl 1141.91474 Insur. Math. Econ. 42, No. 3, 943-953 (2008). MSC: 91G10 PDFBibTeX XMLCite \textit{S. Xie} et al., Insur. Math. Econ. 42, No. 3, 943--953 (2008; Zbl 1141.91474) Full Text: DOI
Li, Zhong-Fei; Ng, Kai W.; Tan, Ken Seng; Yang, Hailiang Optimal constant-rebalanced portfolio investment strategies for dynamic portfolio selection. (English) Zbl 1138.91460 Int. J. Theor. Appl. Finance 9, No. 6, 951-966 (2006). MSC: 91G10 60H10 60H30 90C15 PDFBibTeX XMLCite \textit{Z.-F. Li} et al., Int. J. Theor. Appl. Finance 9, No. 6, 951--966 (2006; Zbl 1138.91460) Full Text: DOI