6 citations · 30 across the 63 of their papers we have counts for
69 papers
Time-Inconsistent Singular Dividend Control with Regime Switching and Bankruptcy
Xiaochen Chen, Guohui Guan, Zongxia Liang +1
This paper studies infinite-horizon equilibrium dividend distribution for a firm whose surplus follows a diffusion under observable Markov regime switching and is absorbed at bankr…
Equilibria for Time-inconsistent Regular-singular Control Problems
Yuting Jia, Zongxia Liang, Xiaodong Luo
This paper studies a time-inconsistent mixed regular-singular control problem in continuous time with non-exponential discount. We seek time-consistent equilibria in an intraperson…
Equilibrium for regular-singular control under mean-variance criterion: A unified approach via control laws
Zongxia Liang, Xiaodong Luo, Jiayu Zhang
This paper studies a class of mixed regular-singular control problems under mean-variance criteria, where the drift and diffusion are allowed to depend on both the regular control…
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…
Equilibrium singular dividend control under ambiguity aggregation of heterogeneous discount rates
Yue Cao, Guohui Guan, Zongxia Liang +1
This paper studies a singular dividend control problem for a firm with heterogeneous shareholders whose discount rates follow a given distribution. The central planner aggregates e…
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…