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q-fin.MF2026
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…
math.OC2026
Solving contextual chance-constrained programming under decision-dependent uncertainty
Xiangting Liu, Shengran Wang, Kaile Yan +1
We study contextual chance-constrained programming under decision-dependent uncertainty. In this setting, a decision not only needs to satisfy constraints but also alters the distr…
q-fin.MF2026
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…