6 papers
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…
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…
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…
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…
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…
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…