Chao Zhou

National University of Singapore (NUS) - Department of Mathematics

Department of Mathematics

Singapore, 117543

Singapore

SCHOLARLY PAPERS

7

DOWNLOADS

757

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (7)

1.

Risky Investments under Static and Dynamic Information Acquisition

Number of pages: 96 Posted: 17 Mar 2018 Last Revised: 10 Oct 2022
Jussi Keppo, Hong Ming Tan and Chao Zhou
National University of Singapore - NUS Business School, National University of Singapore (NUS) - NUS Business School and National University of Singapore (NUS) - Department of Mathematics
Downloads 400 (109,466)
Citation 1

Abstract:

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Information acquisition; Investment; Bayesian learning; Diffusion process;

2.

Optimal Execution with Hidden Orders Under Self-Exciting Dynamics

Number of pages: 56 Posted: 01 Oct 2021
Ying Chen, Zexin Wang, Ge Zhang and Chao Zhou
National University of Singapore (NUS) - Department of Mathematics, Imperial College London - Department of Mathematics, Institute of Data Science, National University of Singapore and National University of Singapore (NUS) - Department of Mathematics
Downloads 144 (292,067)

Abstract:

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hidden order, optimal execution, stochastic control, Hawkes process

3.

Peer Preference and Asset-Liability Management in InsurTech Market

Number of pages: 31 Posted: 09 Aug 2021
Chao Deng, Xizhi Su and Chao Zhou
Guangdong University of Foreign Studies, National University of Singapore (NUS) - Department of Mathematics and National University of Singapore (NUS) - Department of Mathematics
Downloads 87 (414,243)

Abstract:

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Peer effect; Asset and liability management; Time inconsistent; Nash Equilibrium

Non-Markovian Mean-Variance Portfolio Selection Problems Via Closed-Loop Equilibrium Strategies

Number of pages: 29 Posted: 19 Oct 2021
National University of Singapore (NUS), Sichuan University - School of Mathematics, East China Normal University (ECNU) and National University of Singapore (NUS) - Department of Mathematics
Downloads 18 (780,911)

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dynamic mean-variance problems, timeinconsistency, closed-loop equilibrium strategies, stochastic Riccati system, deep learning

Non-Markovian Mean-Variance Portfolio Selection Problems Via Closed-Loop Equilibrium Strategies

Number of pages: 29 Posted: 29 Nov 2021
National University of Singapore (NUS), Sichuan University - School of Mathematics, East China Normal University (ECNU) and National University of Singapore (NUS) - Department of Mathematics
Downloads 16 (800,171)

Abstract:

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dynamic mean-variance problems, timeinconsistency, closed-loop equilibrium strategies, stochastic Riccati system, deep learning

5.

Horizon-unbiased Investment with Ambiguity

Number of pages: 30 Posted: 24 May 2019
Qian Lin, Xianming Sun and Chao Zhou
Wuhan University - School of Economics and Management, Zhongnan University of Economics and Law - School of Finance and National University of Singapore (NUS) - Department of Mathematics
Downloads 30 (661,500)

Abstract:

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Ambiguity, Forward Performance, Robust Investment, Risk Premium

6.

Risky Investments Under Static and Dynamic Information Acquisition

Number of pages: 96 Posted: 04 Nov 2022
Hong Ming Tan, Jussi Keppo and Chao Zhou
National University of Singapore (NUS) - NUS Business School, National University of Singapore - NUS Business School and National University of Singapore (NUS) - Department of Mathematics
Downloads 11 (821,621)

Abstract:

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Information acquisition, Investment, Bayesian learning, Diffusion process

7.

Asymptotically Tight Bounds on the Optimal Pricing Strategy with Patient Customers

Number of pages: 22 Posted: 02 Mar 2020
Shuaijie Qian, Xizhi Su and Chao Zhou
Center of Mathematical Sciences and Applications, Harvard University, National University of Singapore (NUS) - Department of Mathematics and National University of Singapore (NUS) - Department of Mathematics
Downloads 51

Abstract:

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Revenue maximization, Dynamic pricing, Customer behavior, Asymptotic property