3 papers in the archive (2024–2025), average empirical rigor 3.5/10, average math complexity 8.2/10. Quadrant mix: Holy Grail ×1, Lab Rats ×2.
Works mostly in Stochastic Control & Optimal Stopping, Factor Investing & Asset Pricing, Portfolio Optimization.
Frequent co-authors: Sascha Desmettre (2), Yevhen Havrylenko (2), Mogens Steffensen (2), Xuedong He (1), Moris Simon Strub (1), Yuting Yang (1).
Scores are our LLM-assisted heuristics (methodology), not peer review or citation counts. Author pages are generated from paper metadata; name variants may split one person across pages. arXiv author page →
Ordered by a blend of empirical rigor (60%) and math complexity (40%).
We study a discrete-time consumption-based capital asset pricing model under expectations-based reference-dependent preferences. More precisely, we consider an endowment economy populated by a representative agent who derives utility from current consumption and from gains and losses in consumption
We study a continuous-time portfolio choice problem for an investor whose state-dependent preferences are determined by an exogenous factor that evolves as an Itô diffusion process. Since risk attitudes at the end of the investment horizon are uncertain, terminal wealth is evaluated under a set of u
In intertemporal settings, the multiattribute utility theory of Kihlstrom and Mirman suggests the application of a concave transform of the lifetime utility index. This construction, while allowing time and risk attitudes to be separated, leads to dynamically inconsistent preferences. We address thi