Bingyan Han

Department of Statistics, The Chinese University of Hong Kong

SCHOLARLY PAPERS

3

DOWNLOADS

291

SSRN CITATIONS

1

CROSSREF CITATIONS

3

Scholarly Papers (3)

1.

Robust Time-Inconsistent Stochastic Linear-Quadratic Control

Number of pages: 41 Posted: 08 May 2018 Last Revised: 29 Jul 2019
Bingyan Han, Chi Seng Pun and Hoi Ying Wong
Department of Statistics, The Chinese University of Hong Kong, Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 100 (318,314)
Citation 3

Abstract:

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Stochastic Linear-Quadratic Control, Robustness, Model Uncertainty, Time-Inconsistent Cost Function, Forward-Backward Stochastic Differential Equation

2.

Time-Consistent Mean-Variance Reinsurance-Investment Problems Under Unbounded Random Parameters: BSDE and Uniqueness

Number of pages: 24 Posted: 03 Jun 2018 Last Revised: 29 Oct 2019
Bingyan Han and Hoi Ying Wong
Department of Statistics, The Chinese University of Hong Kong and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 97 (324,538)
Citation 3

Abstract:

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Reinsurance-investment problem; time-inconsistency; backward stochastic differential equation (BSDE); mean-variance; Ornstein-Uhlenbeck (OU) process; constant elasticity of variance (CEV) process.

3.

Robust Mean-Variance Portfolio Selection with State-Dependent Ambiguity Aversion and Risk Aversion: A Closed-loop Approach

Number of pages: 27 Posted: 08 Jan 2019 Last Revised: 11 Sep 2019
Bingyan Han, Chi Seng Pun and Hoi Ying Wong
Department of Statistics, The Chinese University of Hong Kong, Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 94 (331,178)
Citation 2

Abstract:

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Closed-Loop Control, Robust Mean-Variance Portfolio Selection, State-Dependence, Time-Inconsistency, Model Uncertainty