6 citations · 30 across the 63 of their papers we have counts for
7 papers · 1 filter
Equilibrium stochastic control with implicitly defined objective functions
Zongxia Liang, Jianming Xia, Keyu Zhang
This paper considers a class of stochastic control problems with implicitly defined objective functions, which are the sources of time-inconsistency. We study the closed-loop equil…
Time-inconsistent mean field and n-agent games under relative performance criteria
Zongxia Liang, Keyu Zhang
In this paper we study a time-inconsistent portfolio optimization problem for competitive agents with CARA utilities and non-exponential discounting. The utility of each agent depe…
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-…
Optimal Mix Among PAYGO, EET and Individual Savings
Lin He, Zongxia Liang, Zhaojie Ren +1
In order to deal with the aging problem, pension system is actively transformed into the funded scheme. However, the funded scheme does not completely replace PAYGO (Pay as You Go)…
Optimal management of DB pension fund under both underfunded and overfunded cases
Guohui Guan, Zongxia Liang, Yi Xia
This paper investigates the optimal management of an aggregated defined benefit pension plan in a stochastic environment. The interest rate follows the Ornstein-Uhlenbeck model, th…