1 citations · 1 across the 1 of their papers we have counts for
4 papers
Dynamic portfolio selection for nonlinear law-dependent preferences
Zongxia Liang, Jianming Xia, Fengyi Yuan
This paper addresses the portfolio selection problem for nonlinear law-dependent preferences in continuous time, which inherently exhibit time inconsistency. Employing the method o…
Benchmark Beating with the Increasing Convex Order
Jianming Xia
In this paper we model benchmark beating with the increasing convex order (ICX order). The mean constraint in the mean-variance theory of portfolio selection can be regarded as bea…
Equilibrium Portfolio Selection for Smooth Ambiguity Preferences
Guohui Guan, Zongxia Liang, Jianming Xia
This paper investigates the equilibrium portfolio selection for smooth ambiguity preferences in a continuous-time market. The investor is uncertain about the risky asset's drift te…
Optimal Investment with Risk Controlled by Weighted Entropic Risk Measures
Jianming Xia
A risk measure that is consistent with the second-order stochastic dominance and additive for sums of independent random variables can be represented as a weighted entropic risk me…