14 citations · 14 across the 9 of their papers we have counts for
3 papers · 1 filter
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…
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…