2 papers
q-fin.MF2021
A Unified Formula of the Optimal Portfolio for Piecewise Hyperbolic Absolute Risk Aversion Utilities
Zongxia Liang, Yang Liu, Ming Ma +1
We propose a general family of piecewise hyperbolic absolute risk aversion (PHARA) utilities, including many classic and non-standard utilities as examples. A typical application i…
math.OC2018
Robust consumption-investment problem Under CRRA and CARA utilities with time-varying confidence sets
Zongxia Liang, Ming Ma
We consider a robust consumption-investment problem under CRRA and CARA utilities. The time-varying confidence sets are specified by , a correspondence from to the space…