| Publication | Date of Publication | Type |
|---|
Robust time-inconsistent linear-quadratic stochastic controls: a stochastic differential game approach
Applied Mathematics and Optimization | 2025-10-13 | Paper |
Stock market simulator using hidden Markov generative model and its application in risk measurement
Quantitative Finance | 2025-08-26 | Paper |
Nonlocality, nonlinearity, and time inconsistency in stochastic differential games
Mathematical Finance | 2024-01-18 | Paper |
An extended McKean-Vlasov dynamic programming approach to robust equilibrium controls under ambiguous covariance matrix
Applied Mathematics and Optimization | 2023-11-29 | Paper |
Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency
Quantitative Finance | 2023-06-20 | Paper |
Nonlocal fully nonlinear parabolic differential equations arising in time-inconsistent problems
Journal of Differential Equations | 2023-04-11 | Paper |
Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios
SIAM Journal on Financial Mathematics | 2023-03-31 | Paper |
Robust classical-impulse stochastic control problems in an infinite horizon
Mathematical Methods of Operations Research | 2022-10-18 | Paper |
Efficient social distancing during the COVID-19 pandemic: integrating economic and public health considerations
European Journal of Operational Research | 2022-09-09 | Paper |
Robust time-inconsistent stochastic linear-quadratic control with drift disturbance
Applied Mathematics and Optimization | 2022-06-10 | Paper |
| Quasilinearization Methods for Nonlocal Fully-Nonlinear Parabolic Systems | 2022-01-04 | Paper |
Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint
Automatica | 2021-12-14 | Paper |
Nonlocal Fully Nonlinear Parabolic Differential Equations Arising in Time-Inconsistent Problems
(available as arXiv preprint) | 2021-10-08 | Paper |
Robust state-dependent mean-variance portfolio selection: a closed-loop approach
Finance and Stochastics | 2021-08-27 | Paper |
G-expected utility maximization with ambiguous equicorrelation
Quantitative Finance | 2021-06-02 | Paper |
A cost-effective approach to portfolio construction with range-based risk measures
Quantitative Finance | 2021-06-02 | Paper |
A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection
SIAM Journal on Financial Mathematics | 2021-05-17 | Paper |
A self-calibrated direct approach to precision matrix estimation and linear discriminant analysis in high dimensions
Computational Statistics and Data Analysis | 2021-05-06 | Paper |
Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility
Mathematics and Financial Economics | 2021-05-03 | Paper |
A bootstrap-based KPSS test for functional time series
Journal of Multivariate Analysis | 2019-11-22 | Paper |
Non-zero-sum reinsurance games subject to ambiguous correlations
Operations Research Letters | 2019-01-11 | Paper |
A linear programming model for selection of sparse high-dimensional multiperiod portfolios
European Journal of Operational Research | 2018-11-19 | Paper |
| Persistent-Homology-based Machine Learning and its Applications -- A Survey | 2018-11-01 | Paper |
Robust time-inconsistent stochastic control problems
Automatica | 2018-10-17 | Paper |
Resolution of degeneracy in Merton's portfolio problem
SIAM Journal on Financial Mathematics | 2017-01-11 | Paper |
Variance swap with mean reversion, multifactor stochastic volatility and jumps
European Journal of Operational Research | 2016-10-06 | Paper |
Robust non-zero-sum stochastic differential reinsurance game
Insurance Mathematics & Economics | 2016-10-06 | Paper |
Portfolio optimization with ambiguous correlation and stochastic volatilities
SIAM Journal on Control and Optimization | 2016-09-14 | Paper |
Robust investment-reinsurance optimization with multiscale stochastic volatility
Insurance Mathematics & Economics | 2015-05-26 | Paper |
CEV asymptotics of American options
Journal of Mathematical Analysis and Applications | 2014-04-02 | Paper |
