8 citations · 8 across the 8 of their papers we have counts for
12 papers
Optimal Consumption for Recursive Preferences with Local Substitution -- the Case of Certainty
Hanwu Li, Frank Riedel, Shuzhen Yang
We characterize optimal consumption policies in a recursive intertemporal utility framework with local substitution. We establish existence and uniqueness and a version of the Kuhn…
Linear regression under model uncertainty
Shuzhen Yang, Jianfeng Yao
We reexamine the classical linear regression model when the model is subject to two types of uncertainty: (i) some of covariates are either missing or completely inaccessible, and…
Discrete time multi-period mean-variance model: Bellman type strategy and Empirical analysis
Shuzhen Yang
In this paper, we attempt to introduce the Bellman principle for a discrete time multi-period mean-variance model. Based on this new take on the Bellman principle, we obtain a dyna…
Bellman type strategy for the continuous time mean-variance model
Shuzhen Yang
To investigate a time-consistent optimal strategy for the continuous time mean-variance model, we develop a new method to establish the Bellman principle. Based on this new method,…
Multi-time state mean-variance model in continuous time
Shuzhen Yang
In the continuous time mean-variance model, we want to minimize the variance (risk) of the investment portfolio with a given mean at terminal time. However, the investor can stop t…
A varying terminal time mean-variance model
Shuzhen Yang
To improve the efficient frontier of the classical mean-variance model in continuous time, we propose a varying terminal time mean-variance model with a constraint on the mean valu…