14 citations · 14 across the 9 of their papers we have counts for
9 papers
Robust equilibrium strategy for mean-variance-skewness portfolio selection problem
Jian-hao Kang, Nan-jing Huang, Zhihao Hu +1
This paper considers a robust time-consistent mean-variance-skewness portfolio selection problem for an ambiguity-averse investor by taking into account wealth-dependent risk avers…
Asset Prices with Investor Protection and Survival Analysis of Shareholders in the Cross-Sectional Economy
Jia Yue, Ming-Hui Wang, Nan-Jing Huang +1
In this paper, we consider a dynamic asset pricing model in a cross-sectional economy with two firms where a controlling shareholder cannot divert output in one firm with perfect i…
Mean-variance-utility portfolio selection with time and state dependent risk aversion
Ben-Zhang Yang, Xin-Jiang He, Song-Ping Zhu
Under mean-variance-utility framework, we propose a new portfolio selection model, which allows wealth and time both have influences on risk aversion in the process of investment.…
Continuous time mean-variance-utility portfolio problem and its equilibrium strategy
Ben-Zhang Yang, Xin-Jiang He, Song-Ping Zhu
In this paper, we propose a new class of optimization problems, which maximize the terminal wealth and accumulated consumption utility subject to a mean variance criterion controll…
Asset Prices with Investor Protection and Past Information
Jia Yue, Ben-Zhang Yang, Ming-Hui Wang +1
In this paper, we consider a dynamic asset pricing model in an approximate fractional economy to address empirical regularities related to both investor protection and past informa…
Robust portfolio optimization with multi-factor stochastic volatility
Ben-Zhang Yang, Xiaoping Lu, Guiyuan Ma +1
This paper studies a robust portfolio optimization problem under the multi-factor volatility model introduced by Christoffersen et al. (2009). The optimal strategy is derived analy…
Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory
Ben-zhang Yang, Xinjiang He, Nan-jing Huang
In this paper, the Kyle model of insider trading is extended by characterizing the trading volume with long memory and allowing the noise trading volatility to follow a general sto…
Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity
Ben-zhang Yang, Jia Yue, Ming-hui Wang +1
In this paper, a pricing formula for volatility swaps is delivered when the underlying asset follows the stochastic volatility model with jumps and stochastic intensity. By using F…
Variance swaps under Lévy process with stochastic volatility and stochastic interest rate in incomplete markets
Ben-zhang Yang, Jia Yue, Nan-jing Huang
This paper focuses on the pricing of the variance swap in an incomplete market where the stochastic interest rate and the price of the stock are respectively driven by Cox-Ingersol…