68 citations · 173 across the 32 of their papers we have counts for
5 papers · 1 filter
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…