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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.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…