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math.OC2023
Consumption and portfolio optimization solvable problems with recursive preferences
Jian-hao Kang, Zhun Gou, Nan-jing Huang
This paper considers consumption and portfolio optimization problems with recursive preferences in both infinite and finite time regions. Specially, the financial market consists o…
math.OC2022
Stochastic Linear-quadratic Control Problems with Affine Constraints
Zhun Gou, Nan-jing Huang, Xian-jun Long +1
This paper investigates the stochastic linear-quadratic control problems with affine constraints, in which both equality and inequality constraints are involved. With the help of t…
math.OC2022
Robust equilibrium strategy for mean-variance-skewness portfolio selection problem
Jian-hao Kang, Nan-jing Huang, Zhihao Hu +1
This paper considers a robust time-consistent mean-variance-skewness portfolio selection problem for an ambiguity-averse investor by taking into account wealth-dependent risk avers…