20 citations · 22 across the 4 of their papers we have counts for
4 papers
Dynamic Coalition Portfolio Selection with Recursive Utility
Hanxiao Wang, Chao Zhou
In this paper, we consider a dynamic coalition portfolio selection problem, with each agent's objective given by an Epstein--Zin recursive utility. To find a Pareto optimum, the co…
Robust Equilibrium Strategy for Mean-Variance Portfolio Selection
Mengge Li, Shuaijie Qian, Chao Zhou
The classical mean-variance portfolio selection problem induces time-inconsistent (precommited) strategies (see Zhou and Li (2000)). To overcome this time-inconsistency, Basak and…
Numerical methods for Mean field Games based on Gaussian Processes and Fourier Features
Chenchen Mou, Xianjin Yang, Chao Zhou
In this article, we propose two numerical methods, the Gaussian Process (GP) method and the Fourier Features (FF) algorithm, to solve mean field games (MFGs). The GP algorithm appr…
Quadratic BSDEs with jumps: related non-linear expectations
M. Nabil Kazi-Tani, Dylan Possamaï, Chao Zhou
In this article, we follow the study of quadratic backward SDEs with jumps,that is to say for which the generator has quadratic growth in the variables (z; u), started in our accom…