23 citations · 85 across the 29 of their papers we have counts for
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q-fin.PM2020★ 1 cited
A game theoretical approach to homothetic robust forward investment performance processes in stochastic factor models
Juan Li, Wenqiang Li, Gechun Liang
This paper studies an optimal forward investment problem in an incomplete market with model uncertainty, in which the underlying stocks depend on the correlated stochastic factors.…
q-fin.PM2017
Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs
Zhou Yang, Gechun Liang, Chao Zhou
This paper studies the properties of the optimal portfolio-consumption strategies in a {finite horizon} robust utility maximization framework with different borrowing and lending r…
q-fin.PM2014★ 2 cited
Pseudo Linear Pricing Rule for Utility Indifference Valuation
Vicky Henderson, Gechun Liang
This paper considers exponential utility indifference pricing for a multidimensional non-traded assets model, and provides two linear approximations for the utility indifference pr…