• Journal Papers

Research Interests

Mathematical Finance, Portfolio Selection, Behavioral Finance and Economics, Risk Management, and Robo Advising.


    • Portfolio Selection with Exploration of New Investment Opportunities (with Didier Sornette). [SSRN]

    • How Endogenization of the Reference Point Affects Loss Aversion: A Study of Portfolio Selection (with Xue Dong He). [SSRN]

    • Risk and Potential: An Asset Allocation Framework with Applications to Robo-Advising (with Xiangyu Cui, Duan Li and Xiao Qiao). [SSRN]


    • The Impact of a Reference Point Formed by Social Comparison on Wealth Growth and Inequality (with Youcheng Lou, Duan Li and Shouyang Wang), Journal of Economic Dynamics and Control, Volume 127, Article 104120, 2021. [DOI,SSRN]

    • Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion (with Xue Dong He and Thaleia Zariphopoulou), Mathematical Finance, Volume 31, Issue 2, Pages 683-721, 2021. [DOI,SSRN]

    • Evolution of the Arrow-Pratt Measure of Risk-Tolerance for Predictable Forward Utility Processes (with Xun Yu Zhou), Finance and Stochastics, Volume 25, Pages 331–358, 2021. [DOI,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, Article 103751, 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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