3 papers in the archive (2022–2025), average empirical rigor 1.5/10, average math complexity 9/10. Quadrant mix: Lab Rats ×3.
Works mostly in Stochastic Control & Optimal Stopping, Portfolio Optimization, Volatility Modeling & Forecasting, Fixed Income & Interest Rates.
Frequent co-authors: Zuo Quan Xu (3), Guanxing Fu (1), Ying Hu (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%).
In this paper, we investigate mean-variance (MV) portfolio selection problems with jumps in a regime-switching financial model. The novelty of our approach lies in allowing not only the market parameters – such as the interest rate, appreciation rate, volatility, and jump intensity – to depend on th
This paper studies the monotone mean-variance (MMV) problem and the classical mean-variance (MV) problem with convex cone trading constraints in a market with random coefficients. We provide semiclosed optimal strategies and optimal values for both problems via certain backward stochastic differenti
We study a stochastic control problem with regime switching arising in an optimal liquidation problem with dark pools and multiple regimes. The new feature of this model is that it introduces a system of BSDEs with jumps and with singular terminal values, which appears in literature for the first ti