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q-fin.PM2025
Equilibrium Portfolio Selection under Utility-Variance Analysis of Log Returns in Incomplete Markets
Yue Cao, Zongxia Liang, Sheng Wang +1
This paper investigates a time-inconsistent portfolio selection problem in the incomplete mar ket model, integrating expected utility maximization with risk control. The objective…
econ.EM2025
Dynamic allocation: extremes, tail dependence, and regime Shifts
Yin Luo, Sheng Wang, Javed Jussa
By capturing outliers, volatility clustering, and tail dependence in the asset return distribution, we build a sophisticated model to predict the downside risk of the global financ…
q-fin.MF2025
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…