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math.OC2025
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…
math.OC2023
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…