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31
Publications
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221
Citations
Introduction
Current institution
Additional affiliations
September 2019 - present
September 2019 - present
August 2018 - July 2019
Education
August 2014 - July 2018
January 2013 - May 2013
September 2012 - May 2014
Publications
Publications (31)
This paper investigates the suitability of online loans as an investment through the lens of a portfolio optimization framework. We propose general characteristics-based portfolio policy (GCPP), a framework which overcomes unique challenges associated with building a portfolio of online loans. GCPP directly models the portfolio weight of a loan as...
We study discrete‐time predictable forward processes when trading times do not coincide with performance evaluation times in a binomial tree model for the financial market. The key step in the construction of these processes is to solve a linear functional equation of higher order associated with the inverse problem driving the evolution of the pre...
Endogenization of the Reference Point Reduces Loss Aversion
A central idea in behavioral economics is that agents derive utility from gain and losses relative to a certain reference point and that losses loom larger than gains. In “How Endogenization of the Reference Point Affects Loss Aversion: A Study of Portfolio Selection,” He and Strub study t...
We propose a novel dynamic asset allocation framework based on a family of mean-variance-induced utility functions that alleviate the non-monotonicity and time-inconsistency problems of mean-variance optimization. The utility functions are motivated by the equivalence between the mean-variance objective and a quadratic utility function. Crucially,...
We study discrete-time predictable forward processes when trading times do not coincide with performance evaluation times in the binomial tree model for the financial market. The key step in the construction of these processes is to solve a linear functional equation of higher order associated with the inverse problem driving the evolution of the p...
We study the evolution of the Arrow–Pratt measure of risk-tolerance in the framework of discrete-time predictable forward utility processes in a complete semimartingale financial market. An agent starts with an initial utility function, which is then sequentially updated forward at discrete times under the guidance of a martingale optimality princi...
We study the impact of a reference point determined by social comparison on wealth growth and inequality. The reference point of each individual investor contains both personal and social components. Whereas the personal component depends on the investor’s own history of wealth, the social component is determined by the wealth level of other invest...
We introduce the concept of forward rank‐dependent performance criteria, extending the original notion to forward criteria that incorporate probability distortions. A fundamental challenge is how to reconcile the time‐consistent nature of forward performance criteria with the time‐inconsistency stemming from probability distortions. For this, we fi...
We extend a recent result of Trybuła and Zawisza (2019), who investigate a continuous-time portfolio optimization problem under monotone mean–variance preferences. Their main finding is that the optimal strategies for monotone and classical mean–variance preferences coincide in a stochastic factor model for the financial market. We generalize this...
In a dynamic setting, decision makers update their reference point as a function of previous decision and outcomes. In “Failing to Foresee the Updating of the Reference Point Leads to Time-Inconsistent Investment,” Strub and Li investigate the influence of reference point updating on decision making and in particular, address whether a decision mak...
We investigate a discrete-time mean-risk portfolio selection problem, where risk is measured by the conditional value-at-risk (CVaR). A substantial challenge is the combination of a time-inconsistent objective with an incomplete and dynamic model for the financial market. We are able to solve this problem analytically by embedding the original, tim...
We introduce the concept of forward rank-dependent performance processes, extending the original notion to forward criteria that incorporate probability distortions. A fundamental challenge is how to reconcile the time-consistent nature of forward performance criteria with the time-inconsistency stemming from probability distortions. For this, we f...
