5 citations · 17 across the 13 of their papers we have counts for
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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…
q-fin.RM2021★ 3 cited
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…