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