68 citations · 173 across the 32 of their papers we have counts for
39 papers
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…
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…
Robust control problems of BSDEs coupled with value functions
Zhou Yang, Jing Zhang, Chao Zhou
A robust control problem is considered in this paper, where the controlled stochastic differential equations (SDEs) include ambiguity parameters and their coefficients satisfy non-…
Linear-Quadratic Mean Field Games of Controls with Non-Monotone Data
Min Li, Chenchen Mou, Zhen Wu +1
In this paper, we study a class of linear-quadratic (LQ) mean field games of controls with common noises and their corresponding -player games. The theory of mean field game of…
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…
Mean Field Portfolio Games
Guanxing Fu, Chao Zhou
We study mean field portfolio games with random market parameters, where each player is concerned with not only her own wealth but also relative performance to her competitors. We…
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…
SelectNet: Self-paced Learning for High-dimensional Partial Differential Equations
Yiqi Gu, Haizhao Yang, Chao Zhou
The least squares method with deep neural networks as function parametrization has been applied to solve certain high-dimensional partial differential equations (PDEs) successfully…
Portfolio liquidation under factor uncertainty
Ulrich Horst, Xiaonyu Xia, Chao Zhou
We study an optimal liquidation problem under the ambiguity with respect to price impact parameters. Our main results show that the value function and the optimal trading strategy…
Lifetime Ruin under High-watermark Fees and Drift Uncertainty
Junbeom Lee, Xiang Yu, Chao Zhou
This paper aims to make a new contribution to the study of lifetime ruin problem by considering investment in two hedge funds with high-watermark fees and drift uncertainty. Due to…
Horizon-unbiased Investment with Ambiguity
Qian Lin, Xianming Sun, Chao Zhou
In the presence of ambiguity on the driving force of market randomness, we consider the dynamic portfolio choice without any predetermined investment horizon. The investment criter…
A Risk-Sharing Framework of Bilateral Contracts
Junbeom Lee, Stephan Sturm, Chao Zhou
We introduce a two-agent problem which is inspired by price asymmetry arising from funding difference. When two parties have different funding rates, the two parties deduce differe…
The Alpha-Heston Stochastic Volatility Model
Ying Jiao, Chunhua Ma, Simone Scotti +1
We introduce an affine extension of the Heston model where the instantaneous variance process contains a jump part driven by -stable processes with . In this framewor…
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…
Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach
Huyen Pham, Xiaoli Wei, Chao Zhou
This paper focuses on a dynamic multi-asset mean-variance portfolio selection problem under model uncertainty. We develop a continuous time framework for taking into account ambigu…
Second order stochastic target problems with generalized market impact
Bruno Bouchard, Grégoire Loeper, Halil Mete Soner +1
We extend the study of [7, 18] to stochastic target problems with general market impacts. Namely, we consider a general abstract model which can be associated to a fully nonlinear…
On Dynamic Programming Principle for Stochastic Control under Expectation Constraints
Yuk-Loong Chow, Xiang Yu, Chao Zhou
This paper studies the dynamic programming principle using the measurable selection method for stochastic control of continuous processes. The novelty of this work is to incorporat…
Second order BSDE under monotonicity condition and liquidation problem under uncertainty *
Alexandre Popier, Chao Zhou
In this work we investigate an optimal closure problem under Knightian uncertainty. We obtain the value function and an optimal control as the minimal (super-)solution of a second…
Unbiased Simulation for Optimizing Stochastic Function Compositions
Jose Blanchet, Donald Goldfarb, Garud Iyengar +2
In this paper, we introduce an unbiased gradient simulation algorithms for solving convex optimization problem with stochastic function compositions. We show that the unbiased grad…
Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs
Zhou Yang, Gechun Liang, Chao Zhou
This paper studies the properties of the optimal portfolio-consumption strategies in a {finite horizon} robust utility maximization framework with different borrowing and lending r…
A new Mertens decomposition of -submartingale systems. Application to BSDEs with weak constraints at stopping times
Roxana Dumitrescu, Romuald Elie, Wissal Sabbagh +1
We first introduce the concept of -submartingale systems, where the nonlinear operator corresponds to the first component of the solution of…