9 papers
Preference-fitting Framework: Elicited Utility Function and PHARA Approximation
Rui Dai, Zongxia Liang, Yang Liu
The utility function plays a core role in portfolio selection, but its specific form is typically hard to elicit. We propose a definition of the elicited utility function and devel…
Equilibrium singular dividend control under ambiguity aggregation of heterogeneous discount rates
Yue Cao, Guohui Guan, Zongxia Liang +1
This paper studies a singular dividend control problem for a firm with heterogeneous shareholders whose discount rates follow a given distribution. The central planner aggregates e…
Robust Bayesian Portfolio Optimization with Discrepancy-based Posterior Ambiguity
Zongxia Liang, Yang Liu, Xingjian Ma
We study a continuous-time robust Bayesian portfolio optimization problem under drift uncertainty of risky assets. The investor learns unknown asset drifts through Bayesian filteri…
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…
Equilibrium Portfolio Selection under Utility-Variance Analysis of Log Returns in Incomplete Markets
Yue Cao, Zongxia Liang, Sheng Wang +1
This paper investigates a time-inconsistent portfolio selection problem in the incomplete mar ket model, integrating expected utility maximization with risk control. The objective…
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…