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Creators/Authors contains: "Yan, Zhongfeng"

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  1. ; ; ; (, Operations Research)
    The objective of this paper is to study the optimal consumption and portfolio choice problem of risk-controlled investors who strive to maximize total expected discounted utility of both consumption and terminal wealth. Risk is measured by the variance of terminal wealth, which introduces a nonlinear function of the expected value into the control problem. The control problem presented is no longer a standard stochastic control problem but rather, a mean field-type control problem. The optimal portfolio and consumption rules are obtained explicitly. Numerical results shed light on the importance of controlling variance risk. The optimal investment policy is nonmyopic, and consumption is not sacrificed. 
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  2. ; ; ; (, Communications in Information and Systems)
    null (Ed.)
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