We use the portfolio selection model presented in He and Zhou [<italic>Manage. Sci.</italic>, 2011, <bold>57</bold>, 315-331] and the NYSE equity and US treasury bond returns for the period 1926-1990 to revisit Benartzi and Thaler's myopic loss aversion theory. Through an extensive empirical study, we find that in addition...

We formulate and carry out an analytical treatment of a single-period portfolio choice model featuring a reference point in wealth, S-shaped utility (value) functions with loss aversion, and probability weighting under Kahneman and Tversky's cumulative prospect theory (CPT). We introduce a new...

An investor holding a stock needs to decide when to sell it over a given investment horizon. It is tempting to think that she should sell at the maximum price over the entire horizon, which is however impossible to achieve. A close yet realistic goal is to sell the stock at a time when the...

In this paper, we continue our study on a general time-inconsistent stochastic linear--quadratic (LQ) control problem originally formulated in [6]. We derive a necessary and sufficient condition for equilibrium controls via a flow of forward--backward stochastic differential equations. When the...

This paper concerns a class of similinear stochastic partial differential equations, of which the drift term is a second-order differential operator plus a nonlinearity, and the diffusion term is a first-order differential operator. When the nonlinearity is only continuous in the state, it is...

This paper investigates a mixed regular-singular stochastic control problem where the drift of the dynamics is quadratic in the regular control variable. More importantly, the regular control variable is constrained. The value function of the problem is derived in closed form via solving the...

A continuous-time Markowitz's mean-variance portfolio selection problem is studied in a market with one stock, one bond, and proportional transaction costs. This is a singular stochastic control problem,inherently in a finite time horizon. With a series of transformations, the problem is turned...

We study a model of a corporation which has the possibility to choose various production/business policies with different expected profits and risks. In the model there are restrictions on the dividend distribution rates as well as restrictions on the risk the company can undertake. The...