Yang Shen

19 papers Journal 19
YearRankTypeTitle / Venue / Authors
2025 J jnl
Robust optimal investment and consumption strategies with portfolio constraints and stochastic environment.
Eur. J. Oper. Res.
Len Patrick Dominic M. Garces, Yang Shen
2024 J jnl
Optimal Claim-Dependent Proportional Reinsurance Under a Self-Exciting Claim Model.
J. Optim. Theory Appl.
Fan Wu, Yang Shen, Xin Zhang, Kai Ding
2023 J jnl
Stochastic H
J. Optim. Theory Appl.
Meijiao Wang, Qingxin Meng, Yang Shen, Peng Shi
2022 J jnl
Dynamic asset-liability management problem in a continuous-time model with delay.
Int. J. Control
A. Chunxiang, Yang Shen, Yan Zeng
2022 J jnl
Mean-Variance Portfolio Selection in Contagious Markets.
SIAM J. Financial Math.
Yang Shen, Bin Zou
2021 J jnl
A dynamic pricing game for general insurance market.
J. Comput. Appl. Math.
Danping Li, Bin Li, Yang Shen
2021 J jnl
H
J. Syst. Sci. Complex.
Meijiao Wang, Qingxin Meng, Yang Shen
2020 J jnl
Portfolio selection with parameter uncertainty under α maxmin mean-variance criterion.
Oper. Res. Lett.
Xingying Yu, Yang Shen, Xiang Li, Kun Fan
2020 J jnl
Portfolio selection with regime-switching and state-dependent preferences.
J. Comput. Appl. Math.
Jiaqin Wei, Yang Shen, Qian Zhao
2018 J jnl
How do capital structure and economic regime affect fair prices of bank's equity and liabilities?
Ann. Oper. Res.
Donatien Hainaut, Yang Shen, Yan Zeng
2015 J jnl
A revisit to stochastic near-optimal controls: The critical case.
Syst. Control. Lett.
Qingxin Meng, Yang Shen
2015 J jnl
Mean-variance portfolio selection in a complete market with unbounded random coefficients.
Autom.
Yang Shen
2015 J jnl
Optimal control of mean-field jump-diffusion systems with delay: A stochastic maximum principle approach.
J. Comput. Appl. Math.
Qingxin Meng, Yang Shen
2015 J jnl
Static Hedging of Geometric Average Asian Options with Standard Options.
Commun. Stat. Simul. Comput.
Shuai Wang, Yang Shen, Linyi Qian
2014 J jnl
Consumption-investment strategies with non-exponential discounting and logarithmic utility.
Eur. J. Oper. Res.
Qian Zhao, Yang Shen, Jiaqin Wei
2014 J jnl
Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance.
Autom.
Yang Shen, Qingxin Meng, Peng Shi
2014 J jnl
Mean-variance portfolio selection under a constant elasticity of variance model.
Oper. Res. Lett.
Yang Shen, Xin Zhang, Tak Kuen Siu
2013 J jnl
A stochastic maximum principle for backward control systems with random default time.
Int. J. Control
Yang Shen, Tak Kuen Siu
2013 J jnl
Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching.
Oper. Res. Lett.
Yang Shen, Tak Kuen Siu