Yan, Wei Optimal portfolio of continuous-time mean-variance model with futures and options. (English) Zbl 1396.91707 Optim. Control Appl. Methods 39, No. 3, 1220-1242 (2018). MSC: 91G10 93E20 49N10 49L25 PDFBibTeX XMLCite \textit{W. Yan}, Optim. Control Appl. Methods 39, No. 3, 1220--1242 (2018; Zbl 1396.91707) Full Text: DOI
Yan, Wei Closed-form optimal strategies of continuous-time options with stochastic differential equations. (English) Zbl 1373.93388 Complexity 2017, Article ID 8734235, 11 p. (2017). MSC: 93E20 91G10 60H10 49L20 PDFBibTeX XMLCite \textit{W. Yan}, Complexity 2017, Article ID 8734235, 11 p. (2017; Zbl 1373.93388) Full Text: DOI
Yan, Wei Optimal portfolio with stochastic process under safety-first criterion. (Chinese. English summary) Zbl 1374.91108 J. Syst. Sci. Math. Sci. 36, No. 7, 1031-1039 (2016). MSC: 91G10 60J70 PDFBibTeX XMLCite \textit{W. Yan}, J. Syst. Sci. Math. Sci. 36, No. 7, 1031--1039 (2016; Zbl 1374.91108)
Yan, Wei; Chang, Yuwen Modelling on optimal portfolio with exchange rate based on discontinuous stochastic process. (English) Zbl 1360.93790 Int. J. Control 89, No. 12, 2543-2548 (2016). MSC: 93E20 91G10 PDFBibTeX XMLCite \textit{W. Yan} and \textit{Y. Chang}, Int. J. Control 89, No. 12, 2543--2548 (2016; Zbl 1360.93790) Full Text: DOI
Yan, Wei Continuous-time safety-first portfolio selection with jump-diffusion processes. (English) Zbl 1307.93469 Int. J. Syst. Sci. 43, No. 4, 622-628 (2012). MSC: 93E20 91G10 49L20 PDFBibTeX XMLCite \textit{W. Yan}, Int. J. Syst. Sci. 43, No. 4, 622--628 (2012; Zbl 1307.93469) Full Text: DOI
Guo, Qiulin; Li, Jianzhong; Zou, Caineng; Guo, Yujuan; Yan, Wei A class of multi-period semi-variance portfolio for petroleum exploration and development. (English) Zbl 1307.91162 Int. J. Syst. Sci. 43, No. 10, 1883-1890 (2012). MSC: 91G10 90C59 90C90 PDFBibTeX XMLCite \textit{Q. Guo} et al., Int. J. Syst. Sci. 43, No. 10, 1883--1890 (2012; Zbl 1307.91162) Full Text: DOI
Yan, Wei Continuous-time mean-variance portfolio selection with value-at-risk and no-shorting constraints. (English) Zbl 1281.91147 Int. J. Control 85, No. 1, 50-57 (2012). MSC: 91G10 60H10 60J60 93E20 PDFBibTeX XMLCite \textit{W. Yan}, Int. J. Control 85, No. 1, 50--57 (2012; Zbl 1281.91147) Full Text: DOI
Yan, Wei; Li, Shurong Numerical solution of continuous-time mean-variance portfolio selection with nonlinear constraints. (English) Zbl 1193.91145 Int. J. Control 83, No. 3, 642-650 (2010). MSC: 91G10 91G60 91G80 PDFBibTeX XMLCite \textit{W. Yan} and \textit{S. Li}, Int. J. Control 83, No. 3, 642--650 (2010; Zbl 1193.91145) Full Text: DOI
Yan, Wei; Li, Shurong Futures price modeling under exchange rate volatility and its multi-period semi-variance portfolio selection. (English) Zbl 1292.91178 Int. J. Syst. Sci. 40, No. 11, 1139-1148 (2009). MSC: 91G20 91G10 93C20 90C59 PDFBibTeX XMLCite \textit{W. Yan} and \textit{S. Li}, Int. J. Syst. Sci. 40, No. 11, 1139--1148 (2009; Zbl 1292.91178) Full Text: DOI
Yan, Wei A class of continuous-time portfolio selection with liability under jump-diffusion processes. (English) Zbl 1179.91237 Int. J. Control 82, No. 12, 2277-2283 (2009). MSC: 91G10 91G50 49N10 93E20 91G80 PDFBibTeX XMLCite \textit{W. Yan}, Int. J. Control 82, No. 12, 2277--2283 (2009; Zbl 1179.91237) Full Text: DOI
Yan, Wei; Li, Shurong A class of multi-period semi-variance portfolio selection with a four-factor futures price model. (English) Zbl 1183.91174 J. Appl. Math. Comput. 29, No. 1-2, 19-34 (2009). MSC: 91G10 91G20 91G70 62M45 68T05 PDFBibTeX XMLCite \textit{W. Yan} and \textit{S. Li}, J. Appl. Math. Comput. 29, No. 1--2, 19--34 (2009; Zbl 1183.91174) Full Text: DOI
Yan, Wei; Li, Shurong A class of portfolio selection with a four-factor futures price model. (English) Zbl 1170.91402 Ann. Oper. Res. 164, 139-165 (2008). MSC: 91G10 PDFBibTeX XMLCite \textit{W. Yan} and \textit{S. Li}, Ann. Oper. Res. 164, 139--165 (2008; Zbl 1170.91402) Full Text: DOI
Yan, Wei; Miao, Rong; Li, Shurong Multi-period semi-variance portfolio selection: model and numerical solution. (English) Zbl 1193.91146 Appl. Math. Comput. 194, No. 1, 128-134 (2007). MSC: 91G10 PDFBibTeX XMLCite \textit{W. Yan} et al., Appl. Math. Comput. 194, No. 1, 128--134 (2007; Zbl 1193.91146) Full Text: DOI
Yan, Wei; Li, Shurong; Sun, Huanquan Research on dynamic mean-variance portfolio selection under a value-at-risk constraint. (Chinese. English summary) Zbl 1150.91404 Control Decis. 22, No. 2, 169-173 (2007). MSC: 91G10 91B30 93E03 PDFBibTeX XMLCite \textit{W. Yan} et al., Control Decis. 22, No. 2, 169--173 (2007; Zbl 1150.91404)