8 papers
Equilibrium Investment with Random Risk Aversion: (Non-)uniqueness, Optimality, and Comparative Statics
Weilun Cheng, Zongxia Liang, Sheng Wang +1
This paper studies a continuous-time portfolio selection problem under a general distribution of random risk aversion (RRA). We provide a complete characterization of all determini…
Portfolio Selection with Costly Information Acquisition
Zongxia Liang, Shu Wang, Jianming Xia
We investigate joint optimization on information acquisition and portfolio selection within a Bayesian adaptive framework. The investor dynamically controls the precision of a priv…
An Integral Equation in Portfolio Selection with Time-Inconsistent Preferences
Zongxia Liang, Sheng Wang, Jianming Xia
This paper discusses a nonlinear integral equation arising from portfolio selection with a class of time-inconsistent preferences. We propose a unified framework requiring minimal…
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…
Dynamic portfolio selection under generalized disappointment aversion
Zongxia Liang, Sheng Wang, Jianming Xia +1
This paper addresses the continuous-time portfolio selection problem under generalized disappointment aversion (GDA). The implicit definition of the certainty equivalent within GDA…
Equilibrium stochastic control with implicitly defined objective functions
Zongxia Liang, Jianming Xia, Keyu Zhang
This paper considers a class of stochastic control problems with implicitly defined objective functions, which are the sources of time-inconsistency. We study the closed-loop equil…
Dynamic portfolio selection for nonlinear law-dependent preferences
Zongxia Liang, Jianming Xia, Fengyi Yuan
This paper addresses the portfolio selection problem for nonlinear law-dependent preferences in continuous time, which inherently exhibit time inconsistency. Employing the method o…
Benchmark Beating with the Increasing Convex Order
Jianming Xia
In this paper we model benchmark beating with the increasing convex order (ICX order). The mean constraint in the mean-variance theory of portfolio selection can be regarded as bea…