4 papers · 1 filter
Mean-field game of mean-variance portfolio optimization with peer-based risk aversion
Weilun Cheng, Zongxia Liang, Sheng Wang +1
This paper investigates a class of mean-field game (MFG) for mean-variance (MV) portfolio optimization, highlighting a new type of relative performance encoded by the peer-based ri…
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…
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…