1 citations · 1 across the 1 of their papers we have counts for
2 papers
q-fin.PM2016
Dynamic portfolio selection without risk-free assets
Chi Kin Lam, Yuhong Xu, Guosheng Yin
We consider the mean--variance portfolio optimization problem under the game theoretic framework and without risk-free assets. The problem is solved semi-explicitly by applying the…
math.PR2015★ 1 cited
A complex Feynman-Kac formula via linear backward stochastic differential equations
Yuhong Xu
A complex notion of backward stochastic differential equation (BSDE) is proposed in this paper to give a probabilistic interpretation for linear first order complex partial differe…