57 citations · 70 across the 31 of their papers we have counts for
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q-fin.MF2019
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…
math.OC2019
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…
math.OC2019★ 1 cited
A varying terminal time structure for stochastic optimal control under constrained condition
Shuzhen Yang
In this study, we propose a varying terminal time structure for the optimal control problem under state constraints, in which the terminal time follows the varying of the control v…