3 papers
q-fin.PM2026
Preference-fitting Framework: Elicited Utility Function and PHARA Approximation
Rui Dai, Zongxia Liang, Yang Liu
The utility function plays a core role in portfolio selection, but its specific form is typically hard to elicit. We propose a definition of the elicited utility function and devel…
math.OC2026
Robust Bayesian Portfolio Optimization with Discrepancy-based Posterior Ambiguity
Zongxia Liang, Yang Liu, Xingjian Ma
We study a continuous-time robust Bayesian portfolio optimization problem under drift uncertainty of risky assets. The investor learns unknown asset drifts through Bayesian filteri…
q-fin.MF2021
A Unified Formula of the Optimal Portfolio for Piecewise Hyperbolic Absolute Risk Aversion Utilities
Zongxia Liang, Yang Liu, Ming Ma +1
We propose a general family of piecewise hyperbolic absolute risk aversion (PHARA) utilities, including many classic and non-standard utilities as examples. A typical application i…