1 citations · 1 across the 4 of their papers we have counts for
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Optimal Investment to Reach a Financial Goal: A Stochastic Control Framework
Gechun Liang, Moris S. Strub, Yuwei Wang +1
We develop a framework for an investor who trades until she either reaches a financial goal or an exogenous deadline arrives. Analogous to utility functions over wealth, we measure…
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…
Predictable Relative Forward Performance Processes: Multi-Agent and Mean Field Games for Portfolio Management
Gechun Liang, Moris S. Strub, Yuwei Wang
We introduce predictable relative forward performance processes (PRFPP) as a new framework for studying portfolio management within a competitive and incomplete market environment.…
Predictable Forward Performance Processes: Infrequent Evaluation and Applications to Human-Machine Interactions
Gechun Liang, Moris S. Strub, Yuwei Wang
We study discrete-time predictable forward processes when trading times do not coincide with performance evaluation times in a binomial tree model for the financial market. The key…
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…