118 citations · 425 across the 31 of their papers we have counts for
Showing 2009Show all
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math.OC2009★ 8 cited
A stochastic maximum principle via Malliavin calculus
Thilo Meyer-Brandis, Xunyu Zhou, Bernt Oksendal
This paper considers a controlled Itô-Lévy process where the information available to the controller is possibly less than the overall information. All the system coefficients and…
q-fin.PM2009
The premium of dynamic trading
Chun Hung Chiu, Xun Yu Zhou
It is well established that in a market with inclusion of a risk-free asset the single-period mean-variance efficient frontier is a straight line tangent to the risky region, a fac…
q-fin.PM2009★ 79 cited
Continuous-Time Markowitz's Model with Transaction Costs
Min Dai, Zuo Quan Xu, Xun Yu Zhou
A continuous-time Markowitz's mean-variance portfolio selection problem is studied in a market with one stock, one bond, and proportional transaction costs. This is a singular stoc…