Yuying Li

University of Waterloo

Waterloo, Ontario N2L 3G1

Canada

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

1.

Convergence of the Embedded Mean-Variance Optimal Points with Discrete Sampling

Number of pages: 28 Posted: 31 Oct 2013 Last Revised: 06 Sep 2017
Duy-Minh Dang, Peter Forsyth and Yuying Li
University of Queensland - School of Mathematics and Physics, University of Waterloo - Cheriton School of Computer Science and University of Waterloo
Downloads 59 (353,488)

Abstract:

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mean-variance, scalarization optimization, embedding, Pareto optimal, asset-liability, Hamilton-Jacobi-Bellman (HJB) equation, jump diffusion

2.

A Data Driven Neural Network Approach to Optimal Asset Allocation for Target Based Defined Contribution Pension Plans

Number of pages: 27 Posted: 21 Jun 2018
Yuying Li and Peter Forsyth
University of Waterloo and University of Waterloo - David R. Cheriton School of Computer Science
Downloads 55 (365,656)

Abstract:

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DC plan asset allocation, data-driven, neural network, target based objective

3.

A Gradual Nonconvexification Method or Minimizing Value-at-Risk

Journal of Risk, Vol. 16, No. 3, 2014
Number of pages: 26 Posted: 08 Jun 2016
University of Waterloo, University of Waterloo, University of Waterloo and University of Waterloo
Downloads 0 (657,040)
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Abstract:

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value-at-risk, minimization problem