14 citations · 14 across the 9 of their papers we have counts for
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q-fin.PM2020
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.…
q-fin.MF2020
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…