12 citations · 34 across the 11 of their papers we have counts for
18 papers
Optimal Controls for Forward-Backward Stochastic Differential Equations: Time-Inconsistency and Time-Consistent Solutions
Hanxiao Wang, Jiongmin Yong, Chao Zhou
This paper is concerned with an optimal control problem for a forward-backward stochastic differential equation (FBSDE, for short) with a recursive cost functional determined by a…
Linear-Quadratic Optimal Controls for Stochastic Volterra Integral Equations: Causal State Feedback and Path-Dependent Riccati Equations
Hanxiao Wang, Jiongmin Yong, Chao Zhou
A linear-quadratic optimal control problem for a forward stochastic Volterra integral equation (FSVIE, for short) is considered. Under the usual convexity conditions, open-loop opt…
Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors
Lijun Bo, Agostino Capponi, Chao Zhou
We study the forward investment performance process (FIPP) in an incomplete semimartingale market model with closed and convex portfolio constraints, when the investor's risk prefe…
Robust exploratory mean-variance problem with drift uncertainty
Chenchen Mou, Weiwei Zhang, Chao Zhou
We solve a min-max problem in a robust exploratory mean-variance problem with drift uncertainty in this paper. It is verified that robust investors choose the Sharpe ratio with min…
Relative wealth concerns with partial information and heterogeneous priors
Chao Deng, Xizhi Su, Chao Zhou
We establish a Nash equilibrium in a market with agents with the performance criteria of relative wealth level when the market return is unobservable. Each investor has a ran…
Mean Field Exponential Utility Game: A Probabilistic Approach
Guanxing Fu, Xizhi Su, Chao Zhou
We study an -player and a mean field exponential utility game. Each player manages two stocks; one is driven by an individual shock and the other is driven by a common shock. Mo…