刘敬真｜中央财经大学｜学者主页

2026

Consumption-Portfolio Optimization with Regime- Switching-Modulated Habit Formation and Jump Diffusion

Yike Wang, Jingzhen Liu, K. Yiu, Tak-Kuen Siu

Mathematics of Operations Research

DOI

2026

Optimal Investment-Consumption and Tax-Favored Private Defined-Contribution Pension Decisions

Qixin Deng, Jingzhen Liu, Jia-Qin Wei, Hao Zhou

North American Actuarial Journal

DOI

2026

Optimal Asset Allocation for Households with Habit Formation

Jingzhen Liu, Shiqi Yan, Liyuan Lin, Ning Zhang

North American Actuarial Journal

DOI

2026

Mortality Forecasting Using LSTM-CNN Model

Ning Zhang, Hao Chen, Hao Chen, Jingzhen Liu

Axioms

DOI

2025

Time-consistent portfolio selection with monotone mean-variance preferences

Yike Wang, Yusha Chen, Jingzhen Liu

2024

On Stochastic Control Problems with Higher-Order Moments

Yike Wang, Jingzhen Liu, Alain Bensoussan, K. Yiu, Jia-Qin Wei

SIAM Journal of Control and Optimization

DOI

2024

Strictly monotone mean-variance preferences with applications to portfolio selection

Yike Wang, Yusha Chen, Jingzhen Liu, Z. Cui

2023

Optimal Reinsurance and Dividend Under Model Uncertainty

Jingzhen Liu, Yike Wang, Ning Zhang

Journal of Systems Science and Complexity

DOI

2023

Investment–consumption–insurance optimisation problem with multiple habit formation and non-exponential discounting

Yike Wang, Jingzhen Liu, Tak-Kuen Siu

Finance and Stochastics

DOI

2023

The optimal reinsurance strategy with price-competition between two reinsurers

Liyuan Lin, Fangda Liu, Jingzhen Liu, Luyang Yu

Scandinavian Actuarial Journal

DOI

2022

Optimal investment, consumption and life insurance strategies under stochastic differential utility with habit formation

Jingzhen Liu, Shiqi Yan, Shan Jiang, Jiaqin Wei

Journal of Industrial & Management Optimization

DOI

2022

Time-consistent lifetime portfolio selection under smooth ambiguity

Luyang Yu, Liyuan Lin, Guo-Hui Guan, Jingzhen Liu

Mathematical Control and Related Fields

DOI

2022

Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach

Yi-Ke Wang, Jingzhen Liu, Jiaqin Wei

Stochastics

DOI

2022

Mean-variance portfolio selection with random investment horizon

Jingzhen Liu, K. Yiu, Xun Li, Tak-Kuen Siu, Kok Lay Teo

Journal of Industrial and Management Optimization

DOI

2021

Utility maximization with habit formation of interaction

Jingzhen Liu, Yike Wang, Min Zhou

Journal of Industrial and Management Optimization

DOI

2020

带消费习惯的最优消费,寿险和投资决策

刘敬真，林荔圆，孟辉

《应用数学学报》

2020

Non-exponential discounting portfolio management with habit formation

Jingzhen Liu, Liyuan Lin, Ka Fai Cedric Yiu, Jiaqin Wei

Mathematical Control and Related Fields

DOI

2019

Forecasting the sign of US oil and gas industry stock index excess returns employing macroeconomic variables

Jingzhen Liu, Alexander Kemp

Energy Economics，Vol. 81

DOI

2019

Impacts of lagged returns on the risk-return relationship of Chinese aggregate stock market: Evidence from different data frequencies

Jingzhen Liu

Research In International Business And Finance，Vol. 48

DOI

2018

天气因素对航班延误险定价的影响分析

刘敬真，林荔圆

《保险理论与实践》

2018

Essays in empirical energy finance : risk and return of oil and gas companies

Jingzhen Liu

2018

Minimum-Variance Hedging Oil Price Risk for US Energy ETF Investors: Out-of-Sample Investigation

Jingzhen Liu

DOI

2018

Optimal Inventory Control with Jump Diffusion and Nonlinear Dynamics in the Demand

Jingzhen Liu, K. Yiu, A. Bensoussan

SIAM Journal of Control and Optimization

DOI

2017

Oil Price Systemic Risk for the Oil and Gas Industry: A Copula-CoVaR Approach

Jingzhen Liu, Marc Gronwald

DOI

2017

Hedging Oil and Market Price Risk for U.S. Oil and Gas Industry Investors after Using Copulas to Model Dependencies

Jingzhen Liu, Olga Klinkowska

DOI

2017

Impact of Oil Price Changes on Stock Returns of UK Oil and Gas Companies: A Wavelet-Based Analysis

Jingzhen Liu

DOI

2017

Ergodic control for a mean reverting inventory model

Jingzhen Liu, K. Yiu, A. Bensoussan

DOI

2016

Optimality of ( s , S ) policies with nonlinear processes

Jingzhen Liu, K. Yiu, A. Bensoussan

DOI

2015

The optimal mean variance problem with inflation

Jingzhen Liu, K. Yiu, A. Bensoussan

DOI

2014

Optimal investment of an insurer with regime-switching and risk constraint

Jingzhen Liu, K. Yiu, Tak-Kuen Siu

DOI

2014

Optimal insurance in a changing economy

Jingzhen Liu, K. Yiu, Tak-Kuen Siu, W. Ching

DOI

2013

Optimal stochastic differential games with VaR constraints

Jingzhen Liu, K. Yiu

DOI

2013

Optimal investment and proportional reinsurance with risk constraint

Jingzhen Liu, K. Yiu, R. Loxton, K. Teo

DOI

2013

Optimal investment-consumption problem with constraint

Jingzhen Liu, K. Yiu, K. Teo

DOI

2013

Optimal investment-reinsurance with dynamic risk constraint and regime switching

Jingzhen Liu, K. Yiu, Tak-Kuen Siu, W. Ching

DOI

2012

Optimal investment with avalue-at-risk constraint

Jingzhen Liu, Li-Hua Bai, K. Yiu

DOI

2012

A decomposition method for optimal portfolios with regime-switching and risk constraint

Jingzhen Liu, K. Yiu, Tak-Kuen Siu

Risk and Decision Analysis

DOI

2011

Optimal portfolios with stress analysis and the effect of a CVAR constraint

Jingzhen Liu, K. Yiu, K. Teo

2010

Risk management in finance and insurance via stochastic optimization

Jingzhen Liu

2010

Optimal portfolios with regime switching and value-at-risk constraint

K. Yiu, Jingzhen Liu, Tak-Kuen Siu, W. Ching

at - Automatisierungstechnik

DOI

2008

Minimizing the probability of ruin under interest force

Jianjing, Li-Hua Bai, Jingzhen Liu

精选作品

期刊论文

Consumption-Portfolio Optimization with Regime- Switching-Modulated Habit Formation and Jump Diffusion

Optimal Investment-Consumption and Tax-Favored Private Defined-Contribution Pension Decisions

Optimal Asset Allocation for Households with Habit Formation

Mortality Forecasting Using LSTM-CNN Model

Time-consistent portfolio selection with monotone mean-variance preferences

On Stochastic Control Problems with Higher-Order Moments

Strictly monotone mean-variance preferences with applications to portfolio selection

Optimal Reinsurance and Dividend Under Model Uncertainty

Investment–consumption–insurance optimisation problem with multiple habit formation and non-exponential discounting

The optimal reinsurance strategy with price-competition between two reinsurers

Optimal investment, consumption and life insurance strategies under stochastic differential utility with habit formation

Time-consistent lifetime portfolio selection under smooth ambiguity

Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach

Mean-variance portfolio selection with random investment horizon

Utility maximization with habit formation of interaction

带消费习惯的最优消费,寿险和投资决策

Non-exponential discounting portfolio management with habit formation

Forecasting the sign of US oil and gas industry stock index excess returns employing macroeconomic variables

Impacts of lagged returns on the risk-return relationship of Chinese aggregate stock market: Evidence from different data frequencies

天气因素对航班延误险定价的影响分析

Essays in empirical energy finance : risk and return of oil and gas companies

Minimum-Variance Hedging Oil Price Risk for US Energy ETF Investors: Out-of-Sample Investigation

Optimal Inventory Control with Jump Diffusion and Nonlinear Dynamics in the Demand

Oil Price Systemic Risk for the Oil and Gas Industry: A Copula-CoVaR Approach

Hedging Oil and Market Price Risk for U.S. Oil and Gas Industry Investors after Using Copulas to Model Dependencies

Impact of Oil Price Changes on Stock Returns of UK Oil and Gas Companies: A Wavelet-Based Analysis

Ergodic control for a mean reverting inventory model

Optimality of ( s , S ) policies with nonlinear processes

The optimal mean variance problem with inflation

Optimal investment of an insurer with regime-switching and risk constraint

Optimal insurance in a changing economy

Optimal stochastic differential games with VaR constraints

Optimal investment and proportional reinsurance with risk constraint

Optimal investment-consumption problem with constraint

Optimal investment-reinsurance with dynamic risk constraint and regime switching

Optimal investment with avalue-at-risk constraint

A decomposition method for optimal portfolios with regime-switching and risk constraint

Optimal portfolios with stress analysis and the effect of a CVAR constraint

Risk management in finance and insurance via stochastic optimization

Optimal portfolios with regime switching and value-at-risk constraint

Minimizing the probability of ruin under interest force

预印本

Optimal asset allocation for a household with multi-claiminsurance

研究方向