43 citations · 45 across the 6 of their papers we have counts for
8 papers
Reference-dependent asset pricing with a stochastic consumption-dividend ratio
Luca De Gennaro Aquino, Xuedong He, Moris Simon Strub +1
We study a discrete-time consumption-based capital asset pricing model under expectations-based reference-dependent preferences. More precisely, we consider an endowment economy po…
Recursive Utility with Investment Gains and Losses: Existence, Uniqueness, and Convergence
Jing Guo, Xue Dong He
We consider a generalization of the recursive utility model by adding a new component that represents utility of investment gains and losses. We also study the utility process in t…
Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation
Xue Dong He, Xun Yu Zhou
Time inconsistency is prevalent in dynamic choice problems: a plan of actions to be taken in the future that is optimal for an agent today may not be optimal for the same agent in…
Optimal Payoff under the Generalized Dual Theory of Choice
Xue Dong He, Zhaoli Jiang
We consider portfolio optimization under a preference model in a single-period, complete market. This preference model includes Yaari's dual theory of choice and quantile maximizat…
Portfolio Selection under Median and Quantile Maximization
Xue Dong He, Zhaoli Jiang, Steven Kou
Although maximizing median and quantiles is intuitively appealing and has an axiomatic foundation, it is difficult to study the optimal portfolio strategy due to the discontinuity…
Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion
Xue Dong He, Moris S. Strub, Thaleia Zariphopoulou
We introduce the concept of forward rank-dependent performance processes, extending the original notion to forward criteria that incorporate probability distortions. A fundamental…
Two explicit Skorokhod embeddings for simple symmetric random walk
Xuedong He, Sang Hu, Jan Obłój +1
Motivated by problems in behavioural finance, we provide two explicit constructions of a randomized stopping time which embeds a given centered distribution on integers into a…
Loss-Based Risk Measures
Rama Cont, Romain Deguest, Xuedong He
Starting from the requirement that risk measures of financial portfolios should be based on their losses, not their gains, we define the notion of loss-based risk measure and study…