27 citations · 27 across the 4 of their papers we have counts for
4 papers
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…
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…
Mean-Variance Asset-Liability Management with State-Dependent Risk Aversion
Qian Zhao, Jiaqin Wei, Rongming Wang
In this paper, we consider the asset-liability management under the mean-variance criterion. The financial market consists of a risk-free bond and a stock whose price process is mo…
On the Dividend Strategies with Non-Exponential Discounting
Qian Zhao, Jiaqin Wei, Rongming Wang
In this paper, we study the dividend strategies for a shareholder with non-constant discount rate in a diffusion risk model. We assume that the dividends can only be paid at a boun…