5 papers · 1 filter
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…
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…
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…