Shanghai, Shanghai 200062
China
East China Normal University (ECNU) - Faculty of Economics and Management
Mean-variance portfolio, Pairs trading, Stochastic delay differential equation, Time inconsistency
Inflation and stock ambiguity, Retirement, Consumption–investment, Life insurance, Robust optimization, Optimal G-stopping time
Attention allocation, Portfolio selection, Bayesian learning, Return predictability, Reinforcement learning
Rough volatility, Option pricing, Two-factor SV model, S&P 500 and VIX joint modeling
cointegration, demand analytics, risk hedging, time-consistent, production planning
varying salvage values, early disposal, quasi-variational inequalities, sequential sale, stochastic control
Asset-liability management, Liability monitoring, Information costs, Attention allocation, Information acquisition
