27 citations · 27 across the 2 of their papers we have counts for
2 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…
math.ST2020★ 27 cited
The Asymptotic Distribution of the MLE in High-dimensional Logistic Models: Arbitrary Covariance
Qian Zhao, Pragya Sur, Emmanuel J. Candès
We study the distribution of the maximum likelihood estimate (MLE) in high-dimensional logistic models, extending the recent results from Sur (2019) to the case where the Gaussian…