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Yang Shen

Orcid: 0000-0002-0559-2231

According to our database1, Yang Shen authored at least 19 papers between 2013 and 2025.

Collaborative distances:
  • Dijkstra number2 of four.
  • Erdős number3 of four.

Timeline

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Links

Online presence:

On csauthors.net:

Bibliography

2025
Robust optimal investment and consumption strategies with portfolio constraints and stochastic environment.
[BibTeX]
[DOI]
Len Patrick Dominic M. Garces
,
Yang Shen
Eur. J. Oper. Res., 2025

2024
Optimal Claim-Dependent Proportional Reinsurance Under a Self-Exciting Claim Model.
[BibTeX]
[DOI]
Fan Wu
,
Yang Shen
,
Xin Zhang
,
Kai Ding
J. Optim. Theory Appl., June, 2024

2023
Stochastic H<sub>2</sub>/H<sub>∞ </sub> Control for Mean-Field Stochastic Differential Systems with (x, u, v)-Dependent Noise.
[BibTeX]
[DOI]
Meijiao Wang
,
Qingxin Meng
,
Yang Shen
,
Peng Shi
J. Optim. Theory Appl., June, 2023

2022
Mean-Variance Portfolio Selection in Contagious Markets.
[BibTeX]
[DOI]
Yang Shen
,
Bin Zou
SIAM J. Financial Math., 2022

Dynamic asset-liability management problem in a continuous-time model with delay.
[BibTeX]
[DOI]
A. Chunxiang
,
Yang Shen
,
Yan Zeng
Int. J. Control, 2022

2021
H<sub>2</sub>/H<sub>∞</sub> Control for Stochastic Jump-Diffusion Systems with Markovian Switching.
[BibTeX]
[DOI]
Meijiao Wang
,
Qingxin Meng
,
Yang Shen
J. Syst. Sci. Complex., 2021

A dynamic pricing game for general insurance market.
[BibTeX]
[DOI]
Danping Li
,
Bin Li
,
Yang Shen
J. Comput. Appl. Math., 2021

2020
Portfolio selection with parameter uncertainty under α maxmin mean-variance criterion.
[BibTeX]
[DOI]
Xingying Yu
,
Yang Shen
,
Xiang Li
,
Kun Fan
Oper. Res. Lett., 2020

Portfolio selection with regime-switching and state-dependent preferences.
[BibTeX]
[DOI]
Jiaqin Wei
,
Yang Shen
,
Qian Zhao
J. Comput. Appl. Math., 2020

2018
How do capital structure and economic regime affect fair prices of bank's equity and liabilities?
[BibTeX]
[DOI]
Donatien Hainaut
,
Yang Shen
,
Yan Zeng
Ann. Oper. Res., 2018

2015
A revisit to stochastic near-optimal controls: The critical case.
[BibTeX]
[DOI]
Qingxin Meng
,
Yang Shen
Syst. Control. Lett., 2015

Optimal control of mean-field jump-diffusion systems with delay: A stochastic maximum principle approach.
[BibTeX]
[DOI]
Qingxin Meng
,
Yang Shen
J. Comput. Appl. Math., 2015

Static Hedging of Geometric Average Asian Options with Standard Options.
[BibTeX]
[DOI]
Shuai Wang
,
Yang Shen
,
Linyi Qian
Commun. Stat. Simul. Comput., 2015

Mean-variance portfolio selection in a complete market with unbounded random coefficients.
[BibTeX]
[DOI]
Yang Shen
Autom., 2015

2014
Mean-variance portfolio selection under a constant elasticity of variance model.
[BibTeX]
[DOI]
Yang Shen
,
Xin Zhang
,
Tak Kuen Siu
Oper. Res. Lett., 2014

Consumption-investment strategies with non-exponential discounting and logarithmic utility.
[BibTeX]
[DOI]
Qian Zhao
,
Yang Shen
,
Jiaqin Wei
Eur. J. Oper. Res., 2014

Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance.
[BibTeX]
[DOI]
Yang Shen
,
Qingxin Meng
,
Peng Shi
Autom., 2014

2013
Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching.
[BibTeX]
[DOI]
Yang Shen
,
Tak Kuen Siu
Oper. Res. Lett., 2013

A stochastic maximum principle for backward control systems with random default time.
[BibTeX]
[DOI]
Yang Shen
,
Tak Kuen Siu
Int. J. Control, 2013


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