Yuying Li

University of Waterloo

Waterloo, Ontario N2L 3G1

Canada

  • University of Waterloo

SCHOLARLY PAPERS

3

DOWNLOADS

114

0

!

Under construction: SSRN citations will be offline until July when we will launch a brand new and improved citations service, check here for more details.

For more information

Scholarly Papers (3)

Actions:
Email selected abstracts
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:

Loading...

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:

Loading...

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
Jiong Xi, Thomas F Coleman, Yuying Li and Aditya Tayal
University of Waterloo, University of Waterloo, University of Waterloo and University of Waterloo
Downloads 0 (657,040)
  • Add to Cart

Abstract:

Loading...

value-at-risk, minimization problem