5 citations · 7 across the 3 of their papers we have counts for
3 papers
q-fin.PM2022
Cone-constrained Monotone Mean-Variance Portfolio Selection Under Diffusion Models
Yang Shen, Bin Zou
We consider monotone mean-variance (MMV) portfolio selection problems with a conic convex constraint under diffusion models, and their counterpart problems under mean-variance (MV)…
q-fin.MF2021★ 2 cited
Mean-Variance Portfolio Selection in Contagious Markets
Yang Shen, Bin Zou
We consider a mean-variance portfolio selection problem in a financial market with contagion risk. The risky assets follow a jump-diffusion model, in which jumps are driven by a mu…
q-fin.PM2021★ 5 cited
Mean-Variance Investment and Risk Control Strategies -- A Time-Consistent Approach via A Forward Auxiliary Process
Yang Shen, Bin Zou
We consider an optimal investment and risk control problem for an insurer under the mean-variance (MV) criterion. By introducing a deterministic auxiliary process defined forward i…