5 papers
Regularity of the Value Function in Multi-Asset Portfolio Selection with Proportional Transaction Costs
Xinfu Chen, Shuaijie Qian
This paper concerns the variational inequality arising from a specific singular control problem: portfolio selection under proportional transaction costs. This variational inequali…
Optimal Contract Design with Quadratic Effort Cost
Xinfu Chen, Shuaijie Qian, Guan Qiao
The existence of an optimal contract of the principal-agent problem is a central issue in contract design. According to Cvitanić et al. [2], such an optimal contract can be derived…
Comparative Statics of Trading Boundary in Finite Horizon Portfolio Selection with Proportional Transaction Costs
Jintao Li, Shuaijie Qian
We consider Merton's problem with proportional transaction costs. It is well known that the optimal investment strategy is characterized by two trading boundaries, the buy boundary…
Non-Concave Utility Maximization with Transaction Costs
Shuaijie Qian, Chen Yang
This paper studies a finite-horizon portfolio selection problem with non-concave terminal utility and proportional transaction costs, in which the commonly used concavification pri…
Robust Equilibrium Strategy for Mean-Variance Portfolio Selection
Mengge Li, Shuaijie Qian, Chao Zhou
The classical mean-variance portfolio selection problem induces time-inconsistent (precommited) strategies (see Zhou and Li (2000)). To overcome this time-inconsistency, Basak and…