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Quantitative Finance Volume 21, 2021 - Issue 3
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Research Papers

G-expected utility maximization with ambiguous equicorrelation

Chi Seng PunSchool of Physical and Mathematical Sciences, Nanyang Technological University, Singapore, SingaporeCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0002-7478-6961View further author information
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Pages 403-419 | Received 23 Jun 2019, Accepted 29 May 2020, Published online: 28 Jul 2020

Citations (16)

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Read on this site (1)

Chi Seng Pun & Zi Ye. (2023) Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency. Quantitative Finance 23:2, pages 351-365.
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Articles from other publishers (15)

Qian Lei & Chi Seng Pun. (2023) An Extended McKean–Vlasov Dynamic Programming Approach to Robust Equilibrium Controls Under Ambiguous Covariance Matrix. Applied Mathematics & Optimization 88:3.
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Hidekazu Yoshioka & Yumi Yoshioka. (2022) Stochastic streamflow and dissolved silica dynamics with application to the worst-case long-run evaluation of water environment. Optimization and Engineering 24:3, pages 1577-1610.
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Ariel Neufeld, Julian Sester & Mario Šikić. (2023) Markov decision processes under model uncertainty. Mathematical Finance 33:3, pages 618-665.
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Chi Seng Pun, Tianyu Wang & Zhenzhen Yan. (2023) Data-Driven Distributionally Robust CVaR Portfolio Optimization Under A Regime-Switching Ambiguity Set. Manufacturing & Service Operations Management.
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Chi Seng Pun. (2022) Robust classical-impulse stochastic control problems in an infinite horizon. Mathematical Methods of Operations Research 96:2, pages 291-312.
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Kyunghyun Park & Hoi Ying Wong. (2022) Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity. SIAM Journal on Financial Mathematics 13:3, pages 802-843.
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Chi Seng Pun & Zi Ye. (2022) Optimal dynamic mean–variance portfolio subject to proportional transaction costs and no-shorting constraint. Automatica 135, pages 109986.
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Jiangyan Pu & Qi Zhang. (2021) Robust consumption portfolio optimization with stochastic differential utility. Automatica 133, pages 109835.
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Bingyan Han, Chi Seng Pun & Hoi Ying Wong. (2021) Robust state-dependent mean–variance portfolio selection: a closed-loop approach. Finance and Stochastics 25:3, pages 529-561.
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Daniel Bartl, Michael Kupper & Ariel Neufeld. (2021) Duality theory for robust utility maximisation. Finance and Stochastics 25:3, pages 469-503.
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Chi Seng Pun. (2021) A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection. SIAM Journal on Financial Mathematics 12:1, pages 410-445.
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Kyunghyun Park & Hoi Ying Wong. (2021) Robust Consumption-Investment With Return Ambiguity: A Dual Approach With Risk Ambiguity. SSRN Electronic Journal.
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Chi Seng Pun & Zi Ye. (2020) Dynamically Optimal Multi-period Mean-Variance Portfolio subject to Proportional Transaction Costs and No-shorting Constraint. SSRN Electronic Journal.
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Bingyan Han, Chi Seng Pun & Hoi Ying Wong. (2018) Robust Mean-Variance Portfolio Selection with State-Dependent Ambiguity and Risk Aversion: A Closed-loop Approach. SSRN Electronic Journal.
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Chi Seng Pun. (2018) Cost-Effective Dynamic Portfolio Construction with Market-Sensitive Sparsity. SSRN Electronic Journal.
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