4 citations · 14 across the 7 of their papers we have counts for
8 papers
Equilibrium Portfolio Selection for Smooth Ambiguity Preferences
Guohui Guan, Zongxia Liang, Jianming Xia
This paper investigates the equilibrium portfolio selection for smooth ambiguity preferences in a continuous-time market. The investor is uncertain about the risky asset's drift te…
Optimal Investment with Risk Controlled by Weighted Entropic Risk Measures
Jianming Xia
A risk measure that is consistent with the second-order stochastic dominance and additive for sums of independent random variables can be represented as a weighted entropic risk me…
Cash-subadditive risk measures without quasi-convexity
Xia Han, Qiuqi Wang, Ruodu Wang +1
In the literature on risk measures, cash subadditivity was proposed to replace cash additivity, motivated by the presence of stochastic or ambiguous interest rates and defaultable…
Decision Making under Uncertainty: A Game of Two Selves
Jianming Xia
In this paper we characterize the niveloidal preferences that satisfy the Weak Order, Monotonicity, Archimedean, and Weak C-Independence Axioms from the point of view of an intra-p…
Monetary Risk Measures
Guangyan Jia, Jianming Xia, Rongjie Zhao
In this paper, we study general monetary risk measures (without any convexity or weak convexity). A monetary (respectively, positively homogeneous) risk measure can be characterize…
Minimal Quantile Functions Subject to Stochastic Dominance Constraints
Xiangyu Wang, Jianming Xia, Zuo Quan Xu +1
We consider a problem of finding an SSD (second-order stochastic dominance)-minimal quantile function subject to the mixture of FSD (first-order stochastic dominance) and SSD const…
Risk Aversion and Portfolio Selection in a Continuous-Time Model
Jianming Xia
The comparative statics of the optimal portfolios across individuals is carried out for a continuous-time complete market model, where the risky assets price process follows a join…
Mean-variance Hedging in the Discontinuous Case
Jianming Xia
The results on the mean-variance hedging problem in Gouriéroux, Laurent and Pham (1998), Rheinländer and Schweizer (1997) and Arai (2005) are extended to discontinuous semimartinga…