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