5 papers in the archive (2024–2026), average empirical rigor 4.2/10, average math complexity 8.8/10. Quadrant mix: Holy Grail ×1, Lab Rats ×4.
Works mostly in Portfolio Optimization, Stochastic Control & Optimal Stopping, Volatility Modeling & Forecasting, Factor Investing & Asset Pricing.
Frequent co-authors: Zongxia Liang (3), Jianming Xia (2), Zhaojie Ren (1), Tak Kwong Wong (1), Sheung Chi Phillip Yam (1), Yin Luo (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%).
By capturing outliers, volatility clustering, and tail dependence in the asset return distribution, we build a sophisticated model to predict the downside risk of the global financial market. We further develop a dynamic regime switching model that can forecast real-time risk regime of the market. O
This paper investigates a time-inconsistent portfolio selection problem in the incomplete mar ket model, integrating expected utility maximization with risk control. The objective functional balances the expected utility and variance on log returns, giving rise to time inconsistency and motivating t
This article studies a retirement planning problem from a new perspective in which a retiree delegates an initial lump sum to a professional fund manager. The fund is managed dynamically to deliver lifelong benefits while satisfying a guarantee that, at all times, wealth remains above a prescribed s
This paper studies a continuous-time portfolio selection problem under a general distribution of random risk aversion (RRA). We provide a complete characterization of all deterministic equilibrium strategies in closed form. Our results show that the structure of the solution depends crucially on the
This paper discusses a nonlinear integral equation arising from portfolio selection with a class of time-inconsistent preferences. We propose a unified framework requiring minimal assumptions, such as right-continuity of market coefficients and square-integrability of the market price of risk. Our m