1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.PM2022
Relative growth rate optimization under behavioral criterion
Jing Peng, Pengyu Wei, Zuo Quan Xu
This paper studies a continuous-time optimal portfolio selection problem in the complete market for a behavioral investor whose preference is of the prospect type with probability…
q-fin.RM2021★ 1 cited
Dynamic growth-optimum portfolio choice under risk control
Pengyu Wei, Zuo Quan Xu
This paper studies a mean-risk portfolio choice problem for log-returns in a continuous-time, complete market. This is a growth-optimal problem with risk control. The risk of log-r…