| Publication | Date of Publication | Type |
|---|
| Discrete-time simulated annealing: a convergence analysis via the Eyring-Kramers law | 2025-01-22 | Paper |
| Naïve Markowitz policies | 2024-11-20 | Paper |
| Logarithmic regret bounds for continuous-time average-reward Markov decision processes | 2024-09-20 | Paper |
| Variance insurance contracts | 2024-03-21 | Paper |
| Beta and Coskewness Pricing: Perspective from Probability Weighting | 2024-03-12 | Paper |
| Robust utility maximisation with intractable claims | 2023-10-12 | Paper |
| Choquet Regularization for Continuous-Time Reinforcement Learning | 2023-10-11 | Paper |
| Consistent investment of sophisticated rank‐dependent utility agents in continuous time | 2023-09-28 | Paper |
| Tail probability estimates of continuous-time simulated annealing processes | 2023-07-26 | Paper |
| \(g\)-expectation of distributions | 2022-11-16 | Paper |
| Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation | 2022-11-15 | Paper |
| State-Dependent Temperature Control for Langevin Diffusions | 2022-05-31 | Paper |
| Simulated annealing from continuum to discretization: a convergence analysis via the Eyring--Kramers law | 2021-02-03 | Paper |
| Arrow–Debreu equilibria for rank‐dependent utilities with heterogeneous probability weighting | 2019-10-31 | Paper |
| Dual utilities on risk aggregation under dependence uncertainty | 2019-09-19 | Paper |
| Two explicit Skorokhod embeddings for simple symmetric random walk | 2019-09-19 | Paper |
| Optimal Exit Time from Casino Gambling: Strategies of Precommitted and Naive Gamblers | 2019-08-30 | Paper |
| Inverse S-shaped probability weighting and its impact on investment | 2019-07-03 | Paper |
| Optimal insurance under rank‐dependent utility and incentive compatibility | 2019-05-23 | Paper |
| Continuous-Time Mean-Variance Portfolio Selection: A Reinforcement Learning Framework | 2019-04-25 | Paper |
| A new risk-sensitive maximum principle | 2017-07-12 | Paper |
| Rank-Dependent Utility and Risk Taking in Complete Markets | 2017-06-02 | Paper |
| Technical Note—Path-Dependent and Randomized Strategies in Barberis’ Casino Gambling Model | 2017-06-02 | Paper |
| Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium | 2017-05-24 | Paper |
| ARROW–DEBREU EQUILIBRIA FOR RANK‐DEPENDENT UTILITIES | 2016-07-15 | Paper |
| HOPE, FEAR, AND ASPIRATIONS | 2016-02-22 | Paper |
| Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR | 2015-11-04 | Paper |
| A biographical note and tribute to Xunjing Li on his 80th birthday | 2015-07-30 | Paper |
| Continuous-time portfolio selection under ambiguity | 2015-07-30 | Paper |
| Myopic loss aversion, reference point, and money illusion | 2015-04-16 | Paper |
| OPTIMAL INSURANCE DESIGN UNDER RANK‐DEPENDENT EXPECTED UTILITY | 2015-02-20 | Paper |
| Optimal stopping under probability distortion | 2013-04-24 | Paper |
| GREED, LEVERAGE, AND POTENTIAL LOSSES: A PROSPECT THEORY PERSPECTIVE | 2013-02-28 | Paper |
| Time-Inconsistent Stochastic Linear--Quadratic Control | 2012-09-12 | Paper |
| Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment | 2011-06-09 | Paper |
| Buy Low and Sell High | 2011-05-31 | Paper |
| Behavioral portfolio selection with loss control | 2011-04-08 | Paper |
| PORTFOLIO CHOICE VIA QUANTILES | 2011-03-25 | Paper |
| ERRATUM TO “BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME” | 2010-08-03 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3574223 | 2010-07-09 | Paper |
| Markowitz strategies revised | 2010-07-08 | Paper |
| Continuous-Time Markowitz's Model with Transaction Costs | 2010-02-03 | Paper |
| Response to comment on ‘Thou shalt buy and hold’ | 2009-02-23 | Paper |
| Thou shalt buy and hold | 2009-02-23 | Paper |
| BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME | 2008-08-21 | Paper |
| BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME | 2008-05-22 | Paper |
| Stochastic Analysis and Applications | 2008-01-17 | Paper |
| STOCK LOANS | 2007-10-29 | Paper |
| Continuous-time mean-variance efficiency: the 80\% rule | 2007-08-06 | Paper |
| A NOTE ON SEMIVARIANCE | 2006-06-12 | Paper |
| CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION | 2006-02-08 | Paper |
| Mean-Variance Portfolio Selection with Random Parameters in a Complete Market | 2005-11-11 | Paper |
| Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection | 2005-09-15 | Paper |
| Continuous-time mean-risk portfolio selection | 2005-08-04 | Paper |
| Stochastic Linear-Quadratic Control with Conic Control Constraints on an Infinite Time Horizon | 2005-02-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3160512 | 2005-02-09 | Paper |
| Indefinite Stochastic Riccati Equations | 2004-01-08 | Paper |
| Indefinite stochastic linear quadratic control with Markovian jumps in infinite time horizon | 2003-09-15 | Paper |
| Multiple-objective risk-sensitive control and its small noise limit | 2003-04-27 | Paper |
| Discrete-time indefinite LQ control with state and control dependent noises | 2003-03-23 | Paper |
| Solvability and asymptotic behavior of generalized Riccati equations arising in indefinite stochastic LQ controls | 2002-07-21 | Paper |
| Risk-sensitive control with HARA utility | 2002-07-21 | Paper |
| Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation | 2002-06-23 | Paper |
| Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints | 2002-06-23 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2741116 | 2002-03-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4438213 | 2002-01-01 | Paper |
| Linear-Quadratic Control of Backward Stochastic Differential Equations | 2001-10-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2712230 | 2001-05-06 | Paper |
| Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II | 2001-03-19 | Paper |
| Well-posedness and attainability of indefinite stochastic linear quadratic control in infinite time horizon | 2000-10-26 | Paper |
| Stochastic optimal LQR control with integral quadratic constraints and indefinite control weights | 2000-10-17 | Paper |
| Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic controls | 2000-10-17 | Paper |
| Circulant approximation for preconditioning in stochastic automata networks | 2000-09-20 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4227999 | 1999-09-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4255599 | 1999-08-19 | Paper |
| Discrete time LQG controls with control dependent noise | 1999-04-28 | Paper |
| Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs | 1998-09-21 | Paper |
| Stochastic Verification Theorems within the Framework of Viscosity Solutions | 1998-02-02 | Paper |
| A duality analysis on stochastic partial differential equations | 1992-08-13 | Paper |
| Maximum principle of stochastic controlled systems of functional type | 1992-06-27 | Paper |
| The connection between the maximum principle and dynamic programming in stochastic control | 1990-01-01 | Paper |
