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math.OC2025
Robust Utility Maximization with Intractable Claims under Distributional Ambiguity: A Random Distributionally Robust Optimization Approach
Guohui Guan, Zongxia Liang, Xingjian Ma
This paper studies a robust utility maximization problem for intractable claims under distributional ambiguity, where the distribution of the claim cannot be inferred from market i…
q-fin.PM2025
N-player and mean field games among fund managers considering excess logarithmic returns
Guohui Guan, Jiaqi Hu, Zongxia Liang
This paper studies the competition among multiple fund managers with relative performance over the excess logarithmic return. Fund managers compete with each other and have expecte…
q-fin.PM2025
Consumption-portfolio choice with preferences for liquid assets
Guohui Guan, Jiaqi Hu, Zongxia Liang
This paper investigates an infinite horizon, discounted, consumption-portfolio problem in a market with one bond, one liquid risky asset, and one illiquid risky asset with proporti…