5 citations · 7 across the 3 of their papers we have counts for
7 papers
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)…
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…
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…
Hedging with Bitcoin Futures: The Effect of Liquidation Loss Aversion and Aggressive Trading
Carol Alexander, Jun Deng, Bin Zou
We consider the hedging problem where a futures position can be automatically liquidated by the exchange without notice. We derive a semi-closed form for an optimal hedging strateg…
A Perturbation Approach to Optimal Investment, Liability Ratio, and Dividend Strategies
Zhuo Jin, Zuo Quan Xu, Bin Zou
We study an optimal dividend problem for an insurer who simultaneously controls investment weights in a financial market, liability ratio in the insurance business, and dividend pa…
Quadratic Hedging for Sequential Claims with Random Weights in Discrete Time
Jun Deng, Bin Zou
We study a quadratic hedging problem for a sequence of contingent claims with random weights in discrete time. We obtain the optimal hedging strategy explicitly in a recursive repr…