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20202025
most citedComparison Between Mean-Variance and Monotone Mean-Variance Preferences Under Jump Diffusion and Stochastic Factor Model

3 citations · 5 across the 5 of their papers we have counts for

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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…

q-fin.MF2022

Continuous-Time Monotone Mean-Variance Portfolio Selection in Jump-Diffusion Model

Yuchen Li, Zongxia Liang, Shunzhi Pang

We study continuous-time portfolio selection under monotone mean-variance (MMV) preferences in a jump-diffusion model, presenting an explicit solution different from that under cla…