Research Interests
Portfolio Selection, Behavioral Finance and Economics, Financial Technology.
Preprints
How Many Financial Advisers Do You Need? (with Youcheng Lou and Shouyang Wang). [SSRN]
Information Acquisition, Portfolio Choice, and Diversification (with Jiming Pan and Xiao Qiao). [SSRN]
How to Choose a Model? A Consequentialist Approach Applied to Portfolio Selection in Continuous-Time (with Thaleia Zariphopoulou). [SSRN]
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]
Realization Utility, Market Regimes, and the Disposition Effect (with Jiacheng Fan, 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]
Litigation Finance at Trial: Model and Data (with Sandro Claudio Lera and Robert Zev Mahari). [SSRN]
Academic Publications
Investment and Asset Pricing with Relative Wealth Concerns and Multiple Risky Assets
with Luca De Gennaro Aquino, Enrico G. De Giorgi, and Youcheng Lou
The North American Journal of Economics and Finance, Volume 84, Article 102628, 2026. [DOI,SSRN]
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, Volume, 36, Issue 1, Pages 326-343, 2025. [DOI]
Press coverage in European Financial Review, Fintech Global.
Optimal Strategies and Values for Monotone and Classical Mean-Variance Preferences Coincide when Asset Prices Are Continuous
with Jinye Du
Operations Research Letters, Volume 57, Article 107204, 2024. [DOI,SSRN]
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]
Professional Reports
Disrupting the Real Estate Industry: The PropTech Revolution in the UK, USA, China, and India, 2025
with Henry Warren, Ananya Rathore, Kalina Staykova, and Ram Gopal
[Link]
Theses