5 citations · 12 across the 19 of their papers we have counts for
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q-fin.MF2016★ 1 cited
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…
q-fin.MF2016
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…
q-fin.MF2016
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…