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20222026
most citedComparison Between Mean-Variance and Monotone Mean-Variance Preferences Under Jump Diffusion and Stochastic Factor Model

3 citations · 3 across the 7 of their papers we have counts for

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math.OC2024

Monotone Mean-Variance Portfolio Selection in Semimartingale Markets: Martingale Method

Yuchen Li, Zongxia Liang, Shunzhi Pang

We use the martingale method to discuss the relationship between mean-variance (MV) and monotone mean-variance (MMV) portfolio selections. We propose a unified framework to discuss…

math.OC2022★ 3 cited

Comparison Between Mean-Variance and Monotone Mean-Variance Preferences Under Jump Diffusion and Stochastic Factor Model

Yuchen Li, Zongxia Liang, Shunzhi Pang

This paper compares the optimal investment problems based on monotone mean-variance (MMV) and mean-variance (MV) preferences in the Lévy market with an untradable stochastic factor…