3 citations · 5 across the 5 of their papers we have counts for
4 papers · 1 filter
Mean-Field Game of Relative Performance Portfolio for Two Populations with Poisson Common Noise
Yuchen Li, Zongxia Liang, Xiang Yu
This paper studies the mean field game (MFG) and N-player game on relative performance portfolio management with two heterogeneous populations. In addition to the Brownian idiosync…
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…
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…
Block majorization-minimization with diminishing radius for constrained nonsmooth nonconvex optimization
Hanbaek Lyu, Yuchen Li
Block majorization-minimization (BMM) is a simple iterative algorithm for constrained nonconvex optimization that sequentially minimizes majorizing surrogates of the objective func…