| Publication | Date of Publication | Type |
|---|
Decision making under cumulative prospect theory: an alternating direction method of multipliers
INFORMS Journal on Computing | 2025-11-19 | Paper |
Dynamic mean-variance portfolio selection under factor models
Journal of Economic Dynamics & Control | 2025-06-10 | Paper |
Limited attention allocation in a stochastic linear quadratic system with multiplicative noise
IEEE Transactions on Automatic Control | 2025-01-21 | Paper |
Volatility analysis for the GARCH-Itô model with option data
The Canadian Journal of Statistics | 2024-04-23 | Paper |
Beta and Coskewness Pricing: Perspective from Probability Weighting
Operations Research | 2024-03-12 | Paper |
Work More Tomorrow: Resolving Present Bias in Project Management
Operations Research | 2024-02-26 | Paper |
The self-coordination mean-variance strategy in continuous time
RAIRO - Operations Research | 2024-01-22 | Paper |
Hybrid strategy in multiperiod mean-variance framework
Optimization Letters | 2023-03-06 | Paper |
| Decision Making under Cumulative Prospect Theory: An Alternating Direction Method of Multipliers | 2022-10-05 | Paper |
Risk and potential: an asset allocation framework with applications to robo-advising
Journal of the Operations Research Society of China | 2022-09-27 | Paper |
Survey on multi-period mean-variance portfolio selection model
Journal of the Operations Research Society of China | 2022-09-27 | Paper |
A new volatility model: GQARCH‐ItÔ model
Journal of Time Series Analysis | 2022-08-08 | Paper |
On the pricing of expected idiosyncratic skewness
Economics Letters | 2022-07-26 | Paper |
Equilibrium reinsurance strategies for \(n\) insurers under a unified competition and cooperation framework
Scandinavian Actuarial Journal | 2022-03-02 | Paper |
Better than optimal mean-variance portfolio policy in multi-period asset-liability management problem
Operations Research Letters | 2021-04-07 | Paper |
Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
Journal of Economic Dynamics and Control | 2019-11-21 | Paper |
Alleviating time inconsistent behaviors via a competition scheme
Naval Research Logistics | 2019-05-02 | Paper |
Time-consistent and self-coordination strategies for multi-period mean-conditional value-at-risk portfolio selection
European Journal of Operational Research | 2019-03-12 | Paper |
Dynamic mean-VaR portfolio selection in continuous time
Quantitative Finance | 2018-11-19 | Paper |
A mean-field formulation for optimal multi-period mean-variance portfolio selection with an uncertain exit time
Operations Research Letters | 2018-09-28 | Paper |
Discrete-time behavioral portfolio selection under cumulative prospect theory
Journal of Economic Dynamics and Control | 2018-08-13 | Paper |
Time-consistent portfolio policy for asset-liability mean-variance model with state-dependent risk aversion
Journal of the Operations Research Society of China | 2018-08-10 | Paper |
Self-coordination in time inconsistent stochastic decision problems: a planner-doer game framework
Journal of Economic Dynamics and Control | 2018-08-09 | Paper |
Better than pre-committed optimal mean-variance policy in a jump diffusion market
Mathematical Methods of Operations Research | 2017-10-09 | Paper |
Behavioral portfolio optimization with social reference point
Advances in Intelligent Systems and Computing | 2017-09-12 | Paper |
Multiperiod mean-CVaR portfolio selection
Advances in Intelligent Systems and Computing | 2017-09-12 | Paper |
Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection
IEEE Transactions on Automatic Control | 2017-05-16 | Paper |
Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion
Optimization Letters | 2017-03-28 | Paper |
Dynamic trading with reference point adaptation and loss aversion
Operations Research | 2016-01-22 | Paper |
Time cardinality constrained mean-variance dynamic portfolio selection and market timing: a stochastic control approach
Automatica | 2015-08-21 | Paper |
Optimal multi-period mean-variance policy under no-shorting constraint
European Journal of Operational Research | 2015-02-03 | Paper |
| Mean-Variance Policy for Discrete-time Cone Constrained Markets: The Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure | 2014-03-04 | Paper |
| Continuous-time mean-variance portfolio selection with finite transaction | 2013-06-12 | Paper |
Better than dynamic mean-variance: time inconsistency and free cash flow stream
Mathematical Finance | 2013-02-28 | Paper |
