3 papers
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…
q-fin.MF2019
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…