118 citations · 174 across the 10 of their papers we have counts for
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q-fin.MF2020
Consistent Investment of Sophisticated Rank-Dependent Utility Agents in Continuous Time
Ying Hu, Hanqing Jin, Xun Yu Zhou
We study portfolio selection in a complete continuous-time market where the preference is dictated by the rank-dependent utility. As such a model is inherently time inconsistent du…
q-fin.MF2017
Mean-variance portfolio selection with nonlinear wealth dynamics and random coefficients
Shaolin Ji, Hanqing Jin, Xiaomin Shi
This paper studies the continuous time mean-variance portfolio selection problem with one kind of non-linear wealth dynamics. To deal the expectation constraint, an auxiliary stoch…