arXiv subjects

Zhaoli Jiang

Publications and source records attributed to Zhaoli Jiang.

3 recordsLinked to original sources

arXiv2021

Portfolio Selection under Median and Quantile Maximization

Although maximizing median and quantiles is intuitively appealing and has an axiomatic foundation, it is difficult to study the optimal portfolio strategy due to the discontinuity and time inconsistency in the objective function. We use the intra-personal equilibrium approach to study the problem. Interestingly, we find that the only viable outcome is from the median maximization, because for other quantiles either the equilibrium does not exist or there is no investment in the risky assets. The median maximization strategy gives a simple explanation to why wealthier people invest more percentage of their wealth in risky assets.

q-fin.MF↗

arXiv2020

Optimal Payoff under the Generalized Dual Theory of Choice

We consider portfolio optimization under a preference model in a single-period, complete market. This preference model includes Yaari's dual theory of choice and quantile maximization as special cases. We characterize when the optimal solution exists and derive the optimal solution in closed form when it exists. The payoff of the optimal portfolio is a digital option: it yields an in-the-money payoff when the market is good and zero payoff otherwise. When the initial wealth increases, the set of good market scenarios remains unchanged while the payoff in these scenarios increases. Finally, we extend our portfolio optimization problem by imposing a dependence structure with a given benchmark payoff and derive similar results.

q-fin.MF↗

arXiv2020

Some Distributional Properties of Linear Stochastic Differential Equations

In this paper, we prove a sufficient and necessary condition for the transition probability distribution of a general, time-inhomogeneous linear SDE to possess a density function and study the differentiability of the density function and the transition quantile function of the SDE. Moreover, we completely characterize the support of the marginal distribution of this SDE.

math.PR↗