Zobrazeno 1 - 10
of 91
pro vyhledávání: '"Xia Jianming"'
This paper addresses the continuous-time portfolio selection problem under generalized disappointment aversion (GDA). The implicit definition of the certainty equivalent within GDA preferences introduces time inconsistency to this problem. We provide
Externí odkaz:
http://arxiv.org/abs/2401.08323
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 equilibrium solutions in a general controlled diffusion framework. First, w
Externí odkaz:
http://arxiv.org/abs/2312.15173
This paper addresses the portfolio selection problem for nonlinear law-dependent preferences in continuous time, which inherently exhibit time inconsistency. Employing the method of stochastic maximum principle, we establish verification theorems for
Externí odkaz:
http://arxiv.org/abs/2311.06745
Autor:
Xia, Jianming
In this paper we model benchmark beating with the increasing convex order (ICX order). The mean constraint in the mean-variance theory of portfolio selection can be regarded as beating a constant. We then investigate the problem of minimizing the var
Externí odkaz:
http://arxiv.org/abs/2311.01692
This paper investigates the equilibrium portfolio selection for smooth ambiguity preferences in a continuous-time market. The investor is uncertain about the risky asset's drift term and updates the subjective belief according to the Bayesian rule. T
Externí odkaz:
http://arxiv.org/abs/2302.08181
Autor:
Huang, Xionghui, Sun, Li, Cao, Shengti, Xie, Wentao, Huo, Yueqing, Liu, Xiaochen, Xia, Jianming
Publikováno v:
In Journal of Molecular Liquids 15 August 2024 408
Autor:
Xia, Jianming
A risk measure that is consistent with the second-order stochastic dominance and additive for sums of independent random variables can be represented as a weighted entropic risk measure (WERM). The expected utility maximization problem with risk cont
Externí odkaz:
http://arxiv.org/abs/2112.02284
In the literature of risk measures, cash subadditivity was proposed to replace cash additivity, motivated by the presence of stochastic or ambiguous interest rates and defaultable contingent claims. Cash subadditivity has been traditionally studied t
Externí odkaz:
http://arxiv.org/abs/2110.12198
Autor:
Xia, Jianming
In this paper we characterize the niveloidal preferences that satisfy the Weak Order, Monotonicity, Archimedean, and Weak C-Independence Axioms from the point of view of an intra-personal, leader-follower game. We also show that the leader's strategy
Externí odkaz:
http://arxiv.org/abs/2012.07509
In this paper, we study general monetary risk measures (without any convexity or weak convexity). A monetary (respectively, positively homogeneous) risk measure can be characterized as the lower envelope of a family of convex (respectively, coherent)
Externí odkaz:
http://arxiv.org/abs/2012.06751