Zobrazeno 1 - 10
of 282
pro vyhledávání: '"Liang, Zongxia"'
This paper develops a dynamic model to analyze the general equilibrium of the insurance market, focusing on the interaction between insurers' underwriting and investment strategies. Three possible equilibrium outcomes are identified: a positive insur
Externí odkaz:
http://arxiv.org/abs/2410.18432
This paper investigates portfolio selection within a continuous-time financial market with regime-switching and beliefs-dependent utilities. The market coefficients and the investor's utility function both depend on the market regime, which is modele
Externí odkaz:
http://arxiv.org/abs/2410.16621
This paper studies the robust portfolio selection problem under a state-dependent confidence set. The investor invests in a financial market with a risk-free asset and a risky asset. The ambiguity-averse investor faces uncertainty over the drift of t
Externí odkaz:
http://arxiv.org/abs/2409.19571
This paper addresses a class of time-inconsistent mean field control (MFC) problems in the presence of common noise under non-exponential discount, where the coefficients of the McKean-Vlasov dynamics depend on the conditional joint distribution of t
Externí odkaz:
http://arxiv.org/abs/2409.07219
Autor:
Liang, Zongxia, Ye, Qi
This paper diverges from previous literature by considering the utility maximization problem in the context of investors having the freedom to actively acquire additional information to mitigate estimation risk. We derive closed-form value functions
Externí odkaz:
http://arxiv.org/abs/2405.09339
We propose a two-layer stochastic game model to study reinsurance contracting and competition in a market with one insurer and two competing reinsurers. The insurer negotiates with both reinsurers simultaneously for proportional reinsurance contracts
Externí odkaz:
http://arxiv.org/abs/2405.06235
Autor:
Liang, Zongxia, Ye, Qi
This paper delves into financial markets that incorporate a novel form of heterogeneity among investors, specifically in terms of their beliefs regarding the reliability of signals in the business cycle economy model, which may be biased. Unlike most
Externí odkaz:
http://arxiv.org/abs/2405.08822
This paper studies a variable proportion portfolio insurance (VPPI) strategy. The objective is to determine the risk multiplier by maximizing the extended Omega ratio of the investor's cushion, using a binary stochastic benchmark. When the stock inde
Externí odkaz:
http://arxiv.org/abs/2403.13388
We use the martingale method to discuss the relationship between mean-variance (MV) and monotone mean-variance (MMV) portfolio selections. We propose a unified framework to discuss the relationship in general financial markets without any specific se
Externí odkaz:
http://arxiv.org/abs/2403.06190
Autor:
Liang, Zongxia, Luo, Xiaodong
We study a reinsurance Stackelberg game in which both the insurer and the reinsurer adopt the mean-variance (abbr. MV) criterion in their decision-making and the reinsurance is irreversible. We apply a unified singular control framework where irrever
Externí odkaz:
http://arxiv.org/abs/2402.11580