Grants and Publications

Grants:

• General Research Fund (GRF): Study of Two Time-Inconsistent Asset Pricing Problems , 2021-2023, HK$614,675 

• General Research Fund (GRF): Asset Management with First-Loss Capital, 2019-2021, HK$632,421 

• General Research Fund (GRF): Stochastic Control without Dynamic Programming: Markovian Controls and Time Inconsistency, 2017–2020, HK$582,000

• General Research Fund (GRF): Stock Trading with Realization Utility, 2016–2019, HK$675,647

• Direct Grant: Between Naifs and Sophisticates: Time-Inconsistent Behavior with Partial Self Awareness and Self Control, 2016–2017, HK$150,000

• Start-up fund at The Chinese University of Hong Kong

• Start-up fund at Columbia University

Publications (Google Scholar):

1. Dynamic Portfolio Selection and Asset Pricing under Neo-Additive Probability Weighting (with Y. Sun): working paper, 2023

2. Never Stop or Never Start? Optimal Stopping under A Mixture of CPT and EUT Preferences (with S. Hu): submitted, 2023.

3. Convergence of Simulated Annealing Using Kinetic Langevin Dynamics (with X. Tan and R. Wu): working paper, 2022.

4. Menuless and Preference-Free Screening Contracts for Fund Managers (with S. Hu and S. G. Kou): submitted, 2021.

5. Dynamic Mean-Variance Efficient Fractional Kelly Portfolios in a Stochastic Volatility Model (with Z. Jiang): working paper, 2020.

6. Portfolio Selection under Median and Quantile Maximization (with Z. Jiang and S. G. Kou): submitted, 2020.

7. Some Distributional Properties of Linear Stochastic Differential Equations (with Z. Jiang): working paper, 2020.

8. Regret Bounds for Markov Decision Processes with Recursive Optimized Certainty Equivalents (with X. Gao and W. Xu): ICML, 2023.

9. How Endogenization of the Reference Point Affects Loss Aversion: A Study of Portfolio Selection (with M. Strub): Operations Research, Volume 70, Issue 6, Pages 3035-3053, 2022.

10. Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation (with X.Y. Zhou): in Stochastic Analysis, Filtering, and Stochastic Optimization: A Commemorative Volume to Honor Mark H. A. Davis's Contributions,  Pages 177-208, 2022.

11. Mean-Variance Portfolio Selection with Dynamic Targets for Expected Terminal Wealth (with Z. Jiang): Mathematics of Operations Research, Volume 47,  Issue 1, Pages 587-615, 2022.

12. Risk Measures: Robustness, Elicitability, and Backtesting (with S.G. Kou and X. Peng), Annual Review of Statistics and Its Application, Volume 9, Pages 141-166, 2022.

13. On the Equilibrium Strategies for Time-Inconsistent Problems in Continuous-Time (supplementary materials) (with Z. Jiang): SIAM Journal on Control and Optimization, Volume 59, Issue 5, Pages 3860-3886, 2021.

14. Comparative Risk Aversion in RDEU with Applications to Optimal Underwriting of Securities Issuance (with M. Ghossoub): Insurance: Mathematics and Economics, Volume 101, Part A, Pages 6-12, 2021.

15. Optimal Payoff under the Generalized Dual Theory of Choice (with Z. Jiang): Operations Research Letters, Volume 49, Issue 3, Pages 372-376, 2021.

16. Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion (with M. Strub and T. Zariphopoulou): Mathematical Finance, Volume 31, Issue 2, Pages 683-721, 2021.

17. A New Preference Model That Allows for Narrow Framing (with J. Guo): Journal of Mathematical Economics, Volume 95, Number 102470, 2021 (An early version with additional results).

18. Optimal Exit Time from Casino Gambling: Strategies of Pre-Committed and Naive Gamblers (supplementary materials) (with S. Hu, J. Obłój and X. Y. Zhou): SIAM Journal on Control and Optimization, Volume 57, Issue 3, Pages 1845–1868, 2019.

19. Two Explicit Skorokhod Embeddings for Simple Symmetric Random Walk (with S. Hu, J. Obłój and X. Y. Zhou): Stochastic Processes and Their Applications, Volume 129, Pages 3431-3445, 2019. 

20. Inverse S-Shaped Probability Weighting and its Impact on Investment (with R. Kouwenberg and X. Y. Zhou): Mathematical Control and Related Fields, Volume 8, Number 3&4, Pages 679-706, 2018.

21. Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must be the sets Induced by Value-at-Risk (with X. Peng): Operations Research, Volume 66, Number 5, Pages 1268–1275, 2018. 

22. Realization Utility with Adaptive Reference Points (with L. Yang): Mathematical Finance, Volume 29, Issue 2, Pages 409-447, 2019. 

23. Profit Sharing in Hedge Funds (with S. G. Kou): Mathematical Finance, Volume 28, Issue 1, Pages 50-81, 2018. 

24. Processing Consistency in Non-Bayesian Inference (with D. Xiao): Journal of Mathematical Economics, Volume 70, Pages 90-104, 2017. 

25. Equilibrium Asset Pricing with Epstein-Zin and Loss-Averse Investors (with J. Guo): Journal of Economic Dynamics and Control, Volume 76, Pages 86-108, 2017. 

26. Rank Dependent Utility and Risk Taking in Complete Markets (with R. Kouwenberg and X. Y. Zhou): SIAM Journal on Financial Mathematics, Volume 8, Issue 1, Pages 214-239, 2017.

27. Path-Dependent and Randomized Strategies in Barberis' Casino Gambling Model (with S. Hu, J. Obłój and X. Y. Zhou): Operations Research, Volume 65, Issue 1, Pages 97-103, 2017. 

28. Hope, Fear and Aspirations (with X. Y. Zhou): Mathematical Finance, Volume 26, Issue 1, Pages 3-50, 2016. 

29. Dynamic Portfolio Choice when Risk is Measured by Weighted VaR (with H. Q. Jin and X. Y. Zhou): Mathematics of Operations Research, Volume 40, Issue 3, Pages 773-796, 2015.

30. Optimal Insurance Design under Rank Dependent Expected Utility (with C. Bernard, J. A. Yan and X. Y. Zhou): Mathematical Finance, Volume 25, Issue 1, Pages 154-186, 2015. 

31. Myopic Loss Aversion, Reference Point, and Money Illusion (with X. Y. Zhou): Quantitative Finance, Volume 14, Issue 9, pages 1541-1554, 2014.

32. Loss-based Risk Measures (with R. Cont and R. Deguest): Statistics and Risk Modeling, Volume 30, Issue 2, pages 133-167, 2013.

33. Portfolio Choice via Quantiles (with X. Y. Zhou): Mathematical Finance, Volume 21, Issue 2, pages 203-231, April 2011.

34. Portfolio Choice under Cumulative Prospect Theory: An Analytical Treatment (with X. Y. Zhou): Management Science, Volume 57, Issue 2, pages 315-331, February 2011.

Unpublished Manuscript:

1. Recursive Utility with Investment Gains and Losses: Existence, Uniqueness, and Convergence (with J. Guo): Unpublished Manuscript, 2019. 

2. Closed-Form Solutions to Dynamic Pricing Problems with Cauchy-Type-Tailed Willingness-to-Pay: Unpublished Manuscript, 2013.