5 papers · 1 filter
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…
Time-Inconsistent Singular Control Problems with a Running Minimum Process
Rui Dai, Guohui Guan, Zongxia Liang +1
This paper develops a time-inconsistent and path-dependent singular control framework incorporating a running minimum process. We derive a verification theorem that characterizes e…
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 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…
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…