7 citations · 8 across the 2 of their papers we have counts for
2 papers
q-fin.MF2022★ 1 cited
Naive Markowitz Policies
Lin Chen, Xun Yu Zhou
We study a continuous-time Markowitz mean-variance portfolio selection model in which a naive agent, unaware of the underlying time-inconsistency, continuously reoptimizes over tim…
stat.ME2018★ 7 cited
Distributionally Robust Mean-Variance Portfolio Selection with Wasserstein Distances
Jose Blanchet, Lin Chen, Xun Yu Zhou
We revisit Markowitz's mean-variance portfolio selection model by considering a distributionally robust version, where the region of distributional uncertainty is around the empiri…