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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…
q-fin.MF2023
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…
q-fin.PM2023
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…