68 citations · 173 across the 32 of their papers we have counts for
9 papers · 1 filter
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…
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-…
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…
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…
Binary Funding Impacts in Derivative Valuation
Junbeom Lee, Chao Zhou
We discuss the binary nature of funding impact in derivative valuation. Under some conditions, funding is either a cost or a benefit, i.e., one of the lending/borrowing rates does…