3 papers
q-fin.MF2024
Time-Consistent Portfolio Selection for Rank-Dependent Utilities in an Incomplete Market
Jiaqin Wei, Jianming Xia, Qian Zhao
We investigate the portfolio selection problem for an agent with rank-dependent utility in an incomplete financial market. For a constant-coefficient market and CRRA utilities, we…
q-fin.RM2013
Mean-Variance Asset-Liability Management with State-Dependent Risk Aversion
Qian Zhao, Jiaqin Wei, Rongming Wang
In this paper, we consider the asset-liability management under the mean-variance criterion. The financial market consists of a risk-free bond and a stock whose price process is mo…
q-fin.PM2013
On the Dividend Strategies with Non-Exponential Discounting
Qian Zhao, Jiaqin Wei, Rongming Wang
In this paper, we study the dividend strategies for a shareholder with non-constant discount rate in a diffusion risk model. We assume that the dividends can only be paid at a boun…