12 citations · 34 across the 14 of their papers we have counts for
4 papers · 1 filter
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…
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…
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…
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…