5 papers
Ex Ante and Scenario-Conditional Value of Information in Dynamic Portfolio Choice
Tom Pohlschmidt, Shihao Zhu
Portfolio decisions are often made under uncertainty about expected returns, and investors revise their beliefs as new information arrives. Although richer information generally ca…
Nonconcave Portfolio Choice under Smooth Ambiguity
Emanuele Borgonovo, An Chen, Massimo Marinacci +1
We study continuous-time portfolio choice with nonlinear payoffs under smooth ambiguity and Bayesian learning. We develop a general framework for dynamic, non-concave asset allocat…
Mean-Variance Stackelberg Games with Asymmetric Information
Yu-Jui Huang, Shihao Zhu
Two investors perform mean-variance portfolio selection under asymmetric information: investor 1 knows the true stock dynamics; investor 2 has to infer the true dynamics from obser…
Striking the Balance: Life Insurance Timing and Asset Allocation in Financial Planning
An Chen, Giorgio Ferrari, Shihao Zhu
This paper investigates the consumption and investment decisions of an individual facing uncertain lifespan and stochastic labor income within a Black-Scholes market framework. A k…
Optimal Retirement Choice under Age-dependent Force of Mortality
Giorgio Ferrari, Shihao Zhu
This paper examines optimal investment, consumption, and retirement timing under an age-dependent force of mortality. We formulate the optimization problem as a combined stochastic…