• Journal Papers


  • Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion, submitted, (with Xue Dong He and Thaleia Zariphopoulou), 2019. [SSRN]
  • Endogenization of the Reference Point Reduces the Effect of Loss Aversion for Portfolio Optimization (with Xue Dong He), [SSRN]
  • An Enhanced Mean-Variance Framework for Robo-Advising Applications (with Duan Li and Xiangyu Cui), submitted, [SSRN]
  • Evolution of the Arrow-Pratt Measure of Risk-Tolerance for Predictable Forward Utility Processes (with Xun Yu Zhou), submitted, 2018. [SSRN]
  • Reference Point Formation in Social Networks, Wealth Growth, and Inequality (with Youcheng Lou, Duan Li and Shouyang Wang), submitted, [SSRN]


  • A Note on Monotone Mean-Variance Preferences for Continuous Processes (with Duan Li), Operations Research Letters, Volume 48, Issue 4, Pages 397-400, 2020. [DOI,SSRN]
  • Failing to Foresee the Updating of the Reference Point Leads to Time-Inconsistent Investment (with Duan Li), Operations Research, Volume 68, Issue 1, Pages 199-213, 2020. [DOI,SSRN]
  • Discrete-Time Mean-CVaR Portfolio Selection and Time-Consistency Induced Term Structure of the CVaR (with Duan Li, Xiangyu Cui and Jianjun Gao), Journal of Economic Dynamics and Control, Volume 108, Pages 1-21, 2019. [DOI,SSRN]


  • Advances in Portfolio Selection: Reference Points, Conditional Value-at-Risk, Mean-Variance Induced Utility Functions and Predictable Forward Processes, (2018). [PDF]
  • On Relations Between (NUPBR), Sigma-Martingale Densities, Utility Maximization and the Numéraire Portfolio, (2014). [PDF]

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