Department of Mathematical Sciences

 

 
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  1. Published

    Optimal DC pension investment with square-root factor processes under stochastic income and inflation risks

    Zhang, Y., 2023, In: Optimization. 72, 12, p. 2951 - 2988

    Research output: Contribution to journal › Journal article › Research › peer-review

  2. Published

    Robust Optimal Investment Strategies for Mean-Variance Asset-Liability Management Under 4/2 Stochastic Volatility Models

    Zhang, Y., 2023, In: Methodology and Computing in Applied Probability. 25, 1, 32 p., 20.

    Research output: Contribution to journal › Journal article › Research › peer-review

  3. Published

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

    Zhang, Y., 2022, In: Annals of Finance. 18, p. 511–544

    Research output: Contribution to journal › Journal article › Research › peer-review

  4. Published

    Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences

    Zhang, Y., 2023, In: Journal of Industrial and Management Optimization. 19, 8, p. 5767-5796 30 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

  5. Published

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

    Zhang, Y., 2021, In: Risks. 9, 4, 21 p., 61.

    Research output: Contribution to journal › Journal article › Research › peer-review

  6. Published

    Mean-variance asset-liability management under CIR interest rate and the family of 4/2 stochastic volatility models with derivative trading

    Zhang, Y., 2023, In: Journal of Industrial and Management Optimization. 19, 6, p. 4022-4063 42 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

  7. Published

    Dynamic portfolio optimization with stochastic investment opportunities

    Zhang, Y., 2023, Department of Mathematical Sciences, Faculty of Science, University of Copenhagen. 390 p.

    Research output: Book/Report › Ph.D. thesis › Research

  8. Published

    Dynamic optimal mean-variance investment with mispricing in the family of 4/2 stochastic volatility models

    Zhang, Y., 2021, In: Mathematics. 9, 18, 25 p., 2293.

    Research output: Contribution to journal › Journal article › Research › peer-review

  9. Published

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

    Zhang, Y., 2023, In: Decisions in Economics and Finance. 46, p. 97–128 32 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

  10. E-pub ahead of print

    Robust optimal asset-liability management under square-root factor processes and model ambiguity: a BSDE approach

    Zhang, Y., 2024, (E-pub ahead of print) In: Stochastic Models.

    Research output: Contribution to journal › Journal article › Research › peer-review

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