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
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…