3 papers
q-fin.MF2024
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…
q-fin.MF2023
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…
math.OC2023
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-…