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math.OC2024
Equilibrium portfolio selection under beliefs-dependent utilities
Xiaochen Chen, Guohui Guan, Zongxia Liang
This paper investigates portfolio selection within a continuous-time financial market with regime-switching and beliefs-dependent utilities. The market coefficients and the investo…
math.OC2024
Robust Portfolio Selection under State-dependent Confidence Set
Guohui Guan, Yuting Jia, Zongxia Liang
This paper studies the robust portfolio selection problem under a state-dependent confidence set. The investor invests in a financial market with a risk-free asset and a risky asse…