| Publication | Date of Publication | Type |
|---|
Consistent investment of sophisticated rank‐dependent utility agents in continuous time
Mathematical Finance | 2023-09-28 | Paper |
Optimal unbiased estimation for maximal distribution
Probability, Uncertainty and Quantitative Risk | 2022-06-03 | Paper |
Arrow-Debreu equilibria for rank-dependent utilities with heterogeneous probability weighting
Mathematical Finance | 2019-10-31 | Paper |
Behavioral mean-variance portfolio selection
European Journal of Operational Research | 2018-07-25 | Paper |
Time-inconsistent stochastic linear-quadratic control: characterization and uniqueness of equilibrium
SIAM Journal on Control and Optimization | 2017-05-24 | Paper |
Dynamic portfolio choice when risk is measured by weighted VaR
Mathematics of Operations Research | 2015-11-04 | Paper |
Continuous-time portfolio selection under ambiguity
Mathematical Control and Related Fields | 2015-07-30 | Paper |
| Time-Inconsistent Mean-Utility Portfolio Selection with Moving Target | 2014-02-26 | Paper |
Greed, leverage, and potential losses: a prospect theory perspective
Mathematical Finance | 2013-02-28 | Paper |
Time-inconsistent stochastic linear-quadratic control
SIAM Journal on Control and Optimization | 2012-09-12 | Paper |
Illiquidity, position limits, and optimal investment for mutual funds
Journal of Economic Theory | 2011-08-16 | Paper |
Buy low and sell high
Contemporary Quantitative Finance | 2011-05-31 | Paper |
Behavioral portfolio selection with loss control
Acta Mathematica Sinica, English Series | 2011-04-08 | Paper |
Erratum to ``Behavioral portfolio selection in continuous time''
Mathematical Finance | 2010-08-03 | Paper |
| A fundamental theorem of asset pricing in continuous time with square integrable portfolios | 2010-07-09 | Paper |
Numerical methods for portfolio selection with bounded constraints
Journal of Computational and Applied Mathematics | 2009-10-09 | Paper |
BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
Mathematical Finance | 2008-08-21 | Paper |
BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
Mathematical Finance | 2008-05-22 | Paper |
| Stochastic Analysis and Applications | 2008-01-17 | Paper |
A NOTE ON SEMIVARIANCE
Mathematical Finance | 2006-06-12 | Paper |
CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
Mathematical Finance | 2006-02-08 | Paper |
Continuous-time mean-risk portfolio selection
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2005-08-04 | Paper |
Continuous-time mean-risk portfolio selection
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2005-08-04 | Paper |
