6 citations · 8 across the 7 of their papers we have counts for
7 papers
Dynamic portfolio selection under generalized disappointment aversion
Zongxia Liang, Sheng Wang, Jianming Xia +1
This paper addresses the continuous-time portfolio selection problem under generalized disappointment aversion (GDA). The implicit definition of the certainty equivalent within GDA…
Dynamic portfolio selection for nonlinear law-dependent preferences
Zongxia Liang, Jianming Xia, Fengyi Yuan
This paper addresses the portfolio selection problem for nonlinear law-dependent preferences in continuous time, which inherently exhibit time inconsistency. Employing the method o…
Equilibria for Time-inconsistent Singular Control Problems
Zongxia Liang, Xiaodong Luo, Fengyi Yuan
We study a time-inconsistent singular control problem originating from irreversible reinsurance decisions with non-exponential discount. A novel definition of equilibrium for time-…
Consumption-investment decisions with endogenous reference point and drawdown constraint
Zongxia Liang, Xiaodong Luo, Fengyi Yuan
We propose a consumption-investment decision model where past consumption peak plays a crucial role. There are two important consumption levels: the lowest constrained level an…
Equilibrium master equations for time-inconsistent problems with distribution dependent rewards
Zongxia Liang, Fengyi Yuan
We provide a unified approach to find equilibrium solutions for time-inconsistent problems with distribution dependent rewards, which are important to the study of behavioral finan…
Weak equilibria for time-inconsistent control: with applications to investment-withdrawal decisions
Zongxia Liang, Fengyi Yuan
This paper considers time-inconsistent problems when control and stopping strategies are required to be made simultaneously (called stopping control problems by us). We first formu…
Retirement decision with addictive habit persistence in a jump diffusion market
Guohui Guan, Qitao Huang, Zongxia Liang +1
This paper investigates the optimal retirement decision, investment, and consumption strategies in a market with jump diffusion, taking into account habit persistence and stock-wag…