19 citations · 43 across the 20 of their papers we have counts for
23 papers
Flexible Information Acquisition in the Kyle Model
S. Viswanathan, Hao Xing
We study an information acquisition problem in which an informed trader acquires costly information prior to trading in the Kyle equilibrium. The cost of information acquisition is…
Radner equilibrium and systems of quadratic BSDEs with discontinuous generators
Luis Escauriaza, Daniel C. Schwarz, Hao Xing
Motivated by an equilibrium problem, we establish the existence of a solution for a family of Markovian backward stochastic differential equations with quadratic nonlinearity and d…
Capital allocation under the Fundamental Review of Trading Book
Luting Li, Hao Xing
Facing the FRTB, banks need to allocate their capital to each business units or risk positions to evaluate the capital efficiency of their strategies. This paper proposes two compu…
A class of globally solvable Markovian quadratic BSDE systems and applications
Hao Xing, Gordan Žitković
We establish existence and uniqueness for a wide class of Markovian systems of backward stochastic differential equations (BSDE) with quadratic nonlinearities. This class is charac…
Convex duality for stochastic differential utility
Anis Matoussi, Hao Xing
This paper introduces a dual problem to study a continuous-time consumption and investment problem with incomplete markets and stochastic differential utility. For Epstein-Zin util…
Incomplete stochastic equilibria for dynamic monetary utility
Constantinos Kardaras, Hao Xing, Gordan Žitković
We study existence and uniqueness of continuous-time stochastic Radner equilibria in an incomplete market model among a group of agents whose preference is characterized by cash in…