6 citations · 30 across the 63 of their papers we have counts for
7 papers · 1 filter
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…
A Unified Formula of the Optimal Portfolio for Piecewise Hyperbolic Absolute Risk Aversion Utilities
Zongxia Liang, Yang Liu, Ming Ma +1
We propose a general family of piecewise hyperbolic absolute risk aversion (PHARA) utilities, including many classic and non-standard utilities as examples. A typical application i…
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…
Optimal Retirement Time and Consumption with the Variation in Habitual Persistence
Lin He, Zongxia Liang, Yilun Song +1
In this paper,we study the individual's optimal retirement time and optimal consumption under habitual persistence. Because the individual feels equally satisfied with a lower habi…
Robust equilibrium strategies in a defined benefit pension plan game
Guohui Guan, Jiaqi Hu, Zongxia Liang
This paper investigates the robust {non-zero-sum} games in an aggregated {overfunded} defined benefit (abbr. DB) pension plan. The sponsoring firm is concerned with the investment…
Optimal management of DC pension fund under relative performance ratio and VaR constraint
Guohui Guan, Zongxia Liang, Yi xia
In this paper, we investigate the optimal management of defined contribution (abbr. DC) pension plan under relative performance ratio and Value-at-Risk (abbr. VaR) constraint. Infl…