no code implementations • 16 Jan 2024 • Zongxia Liang, Sheng Wang, Jianming Xia, Fengyi Yuan
This paper addresses the continuous-time portfolio selection problem under generalized disappointment aversion (GDA).
no code implementations • 12 Nov 2023 • 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.
no code implementations • 1 Apr 2022 • Zongxia Liang, Xiaodong Luo, Fengyi Yuan
We propose a consumption-investment decision model where past consumption peak $h$ plays a crucial role.
no code implementations • 29 Dec 2021 • Zongxia Liang, Fengyi Yuan
As applications, we reexamine the dynamic portfolio choice problem with rank dependent utility based on the proposed novel approach.
no code implementations • 20 Nov 2020 • Guohui Guan, Qitao Huang, Zongxia Liang, Fengyi Yuan
This paper investigates the optimal retirement decision, investment, and consumption strategies in a market with jump diffusion, taking into account habit persistence and stock-wage correlation.