5 citations · 12 across the 19 of their papers we have counts for
8 papers · 1 filter
Multi-Asset Liquidation in Dark Pools with Adverse Selection
Guanxing Fu, Johannes Ruf, Xiaomin Shi +1
We study the optimal liquidation of a multi-asset portfolio using both a traditional exchange and dark pools in the presence of quadratic adverse-selection costs. The problem leads…
A System of BSDEs with Singular Terminal Values Arising in Optimal Liquidation with Regime Switching
Guanxing Fu, Xiaomin Shi, Zuo Quan Xu
We study a stochastic control problem with regime switching arising in an optimal liquidation problem with dark pools and multiple regimes. The new feature of this model is that it…
Constrained monotone mean-variance problem with random coefficients
Ying Hu, Xiaomin Shi, Zuo Quan Xu
This paper studies the monotone mean-variance (MMV) problem and the classical mean-variance (MV) problem with convex cone trading constraints in a market with random coefficients.…
Continuous-time Markowitz's mean-variance model under different borrowing and saving rates
Chonghu Guan, Xiaomin Shi, Zuo Quan Xu
We study Markowitz's mean-variance portfolio selection problem in a continuous-time Black-Scholes market with different borrowing and saving rates. The associated Hamilton-Jacobi-B…
Mean-variance portfolio selection with nonlinear wealth dynamics and random coefficients
Shaolin Ji, Hanqing Jin, Xiaomin Shi
This paper studies the continuous time mean-variance portfolio selection problem with one kind of non-linear wealth dynamics. To deal the expectation constraint, an auxiliary stoch…
Recursive utility optimization with concave coefficients
Shaolin Ji, Xiaomin Shi
This paper concerns the recursive utility maximization problem. We assume that the coefficients of the wealth equation and the recursive utility are concave. Then some interesting…
Explicit solutions for continuous time mean-variance portfolio selection with nonlinear wealth equations
Shaolin Ji, Xiaomin Shi
This paper concerns the continuous time mean-variance portfolio selection problem with a special nonlinear wealth equation. This nonlinear wealth equation has a nonsmooth coefficie…
Recursive utility maximization under partial information
Shaolin Ji, Xiaomin Shi
This paper concerns the recursive utility maximization problem under partial information. We first transform our problem under partial information into the one under full informati…