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Dynamic optimal mean-variance portfolio selection with a 3/2 stochastic volatility

Zhang, Yumo - In: Risks 9 (2021) 4, pp. 1-21

. By applying a backward stochastic differential equation (BSDE) approach, closed-form expressions for the statically …

Persistent link: https://www.econbiz.de/10013200730

Dynamic optimal mean-variance portfolio selection with a 3/2 stochastic volatility

Zhang, Yumo - In: Risks : open access journal 9 (2021) 4, pp. 1-21

. By applying a backward stochastic differential equation (BSDE) approach, closed-form expressions for the statically …

Persistent link: https://www.econbiz.de/10012508614

Control variate method for deep BSDE solver using weak approximation

Tsuchida, Yoshifumi - In: Asia Pacific financial markets 30 (2023) 2, pp. 273-296

Persistent link: https://www.econbiz.de/10014342288

Utility maximization in a stochastic affine interest rate and CIR risk premium framework : a BSDE approach

Zhang, Yumo - In: Decisions in economics and finance : a journal of … 46 (2023) 1, pp. 97-128

Persistent link: https://www.econbiz.de/10014321379

Optimization under rational expectations : a framework of fully coupled forward-backward stochastic linear quadratic systems

Hu, Mingshang; Ji, Shaolin; Xue, Xiaole - In: Mathematics of operations research 48 (2023) 3, pp. 1767-1790

Persistent link: https://www.econbiz.de/10014329362

Robust optimal asset-liability management with mispricing and stochastic factor market dynamics

Wang, Ning; Zhang, Yumo - In: Insurance / Mathematics & economics 113 (2023), pp. 251-273

Persistent link: https://www.econbiz.de/10014466215

Effect of variance swap in hedging volatility risk

Shen, Yang - In: Risks 8 (2020) 3, pp. 1-34

This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We consider two mean-variance portfolio selection problems under Heston's stochastic volatility model. In the first problem, the financial market is complete and contains three primitive...

Persistent link: https://www.econbiz.de/10013200603

Effect of variance swap in hedging volatility risk

Shen, Yang - In: Risks : open access journal 8 (2020) 3/70, pp. 1-34

Persistent link: https://www.econbiz.de/10012293125

Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate

Zhang, Yumo - In: Annals of finance 18 (2022) 4, pp. 511-544

Persistent link: https://www.econbiz.de/10013489465

Maximum principle for general partial information nonzero sum stochastic differential games and applications

Nie, Tianyang; Wang, Falei; Yu, Zhiyong - In: Dynamic games and applications : DGA 12 (2022) 2, pp. 608-631

Persistent link: https://www.econbiz.de/10013198740

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