6 citations · 30 across the 63 of their papers we have counts for
22 papers · 1 filter
Mean-field game of mean-variance portfolio optimization with peer-based risk aversion
Weilun Cheng, Zongxia Liang, Sheng Wang +1
This paper investigates a class of mean-field game (MFG) for mean-variance (MV) portfolio optimization, highlighting a new type of relative performance encoded by the peer-based ri…
Equilibrium Investment with Random Risk Aversion: (Non-)uniqueness, Optimality, and Comparative Statics
Weilun Cheng, Zongxia Liang, Sheng Wang +1
This paper studies a continuous-time portfolio selection problem under a general distribution of random risk aversion (RRA). We provide a complete characterization of all determini…
Optimal Underreporting and Competitive Equilibrium
Zongxia Liang, Jiayu Zhang, Zhou Zhou +1
This paper develops a dynamic insurance market model comprising two competing insurance companies and a continuum of insureds, and examines the interaction between strategic underr…
Decentralized Annuity: A Quest for the Holy Grail of Lifetime Financial Security
Feng Runhuan, Liang Zongxia, Song Yilun
This paper presents a novel framework for decentralized annuities, aiming to address the limitations of traditional pension systems such as defined contribution (DC) and defined be…
An Integral Equation in Portfolio Selection with Time-Inconsistent Preferences
Zongxia Liang, Sheng Wang, Jianming Xia
This paper discusses a nonlinear integral equation arising from portfolio selection with a class of time-inconsistent preferences. We propose a unified framework requiring minimal…
Robust mean-variance stochastic differential reinsurance and investment games under volatility risk and model uncertainty
Guohui Guan, Zongxia Liang, Yi Xia
This paper investigates robust stochastic differential games among insurers under model uncertainty and stochastic volatility. The surplus processes of ambiguity-averse insurers (A…