Research
Research Interests
Portfolio Selection, Behavioral Finance and Economics, Financial Technology.
Preprints
Reference-Dependent Asset Pricing with a Stochastic Consumption-Dividend Ratio (with Luca De Gennaro Aquino, Xue Dong He, and Yuting Yang). [SSRN]
Predictable Relative Forward Performance Processes: Multi-Agent and Mean Field Games for Portfolio Management (with Gechun Liang and Yuwei Wang). [SSRN]
Optimal Strategies and Values for Monotone and Classical Mean-Variance Preferences Coincide when Asset Prices Are Continuous (with Jinye Du). [SSRN]
Realization Utility, Market Regimes, and the Disposition Effect (with Xue Dong He and Shengcheng Shao). [SSRN]
Following the Actions of Others: The Simple Average of Strategies in a Rational Expectations Economy (with Youcheng Lou and Shouyang Wang). [SSRN]
The Economics of Litigation Finance (with Sandro Claudio Lera and Robert Zev Mahari). [SSRN]
Publications
Gaining a Seat at the Table: Enhancing the Attractiveness of Online Lending for Institutional Investors (with Ram D. Gopal, Xiao Qiao, and Zonghao Yang), Information Systems Research, Available Online, 2024. [DOI] Press coverage in European Financial Review, Fintech Global.
Predictable Forward Performance Preferences: Infrequent Evaluation and Applications to Human-Machine Interactions (with Gechun Liang and Yuwei Wang), Mathematical Finance, Volume 33, Issue 4, Pages 1248-1286, 2023. [DOI,SSRN]
Portfolio Selection with Exploration of New Investment Assets (with Luca De Gennaro Aquino and Didier Sornette), European Journal of Operational Research, Volume 310, Issue 2, Pages 773-792, 2023. [DOI,SSRN]
How Endogenization of the Reference Point Affects Loss Aversion: A Study of Portfolio Selection (with Xue Dong He), Operations Research, Volume 70, Issue 6, Pages 3035-3053, 2022. [DOI,SSRN]
Risk and Potential: An Asset Allocation Framework with Applications to Robo-Advising (with Xiangyu Cui, Duan Li and Xiao Qiao), Journal of the Operations Research Society of China, Volume 10, Issue 3, Special Issue on Optimization, Financial Engineering, Risk, and Operations Management in Memory of Professor Duan Li, Pages 529-558, 2022. [DOI,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]
Theses