118 citations · 425 across the 31 of their papers we have counts for
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q-fin.PM2007★ 118 cited
A Convex Stochastic Optimization Problem Arising from Portfolio Selection
Hanqing Jin, Zuo Quan Xu, Xun Yu Zhou
A continuous-time financial portfolio selection model with expected utility maximization typically boils down to solving a (static) convex stochastic optimization problem in terms…
math.PR2007★ 49 cited
Continuous-time mean-variance efficiency: the 80% rule
Xun Li, Xun Yu Zhou
This paper studies a continuous-time market where an agent, having specified an investment horizon and a targeted terminal mean return, seeks to minimize the variance of the return…