Publications&Presentations

All authors contribute equally and are sorted in alphabetical order.

Preprints

Unified continuous-time q-learning for mean-field game and mean-field control problems.

Xiaoli Wei, Xiang Yu and Fengyi Yuan, 2024. arXiv: 2407.04521.

Optimal consumption under loss-averse multiplicative habit-formation preferences.

Bahman Angoshtari, Xiang Yu and Fengyi Yuan, 2024. arXiv: 2406.20063. [SSRN].

Dynamic portfolio selection under generalized disappointment aversion.

Zongxia Liang, Sheng Wang, Jianming Xia and Fengyi Yuan, 2024. arXiv: 2401.08323.

Dynamic portfolio selection for nonlinear law-dependent preferences.

Zongxia Liang, Jianming Xia and Fengyi Yuan, 2023. arXiv: 2311.06745. Download Slides

Major Revision in Mathematics of Operations Research.

Time-inconsistent mean-field stopping problems: A regularized equilibrium approach.

Xiang Yu and Fengyi Yuan, 2023. arXiv: 2311.00381. Download Slides

Major Revision in Finance and Stochastics.

Equilibria for time-inconsistent singular control problems.

Zongxia Liang, Xiaodong Luo and Fengyi Yuan, 2023. arXiv: 2310.09198.

Accepted by SIAM Journal on Control and Optimization, Sep 2024.

Retirement decision with addictive habit persistence in a jump diffusion market.

Guohui Guan, Qitao Huang, Zongxia Liang, and Fengyi Yuan, 2023. arXiv: 2011.10166.

Minor Revision in SIAM Journal on Financial Mathematics.

Journal Publications

1. Zongxia Liang, Xiaodong Luo and Fengyi Yuan. Consumption-investment decisions with endogenous reference point and drawdown constraint. Mathematics and Financial Economics, 17: 2023, pages 285-334.
2. Zongxia Liang and Fengyi Yuan. Weak equilibria for time-inconsistent control: with applications to investment-withdrawal decisions. Mathematical Finance, 33(3): 2023, pages 891-945.
3. Lin He, Zongxia Liang and Fengyi Yuan. Optimal DB-PAYGO pension management towards a habitual contribution rate. Insurance Mathematics and Economics, 94(3): 2020, pages 125-141.

Academic Presentations(selected)

1. 2023 Global Young Scholars’ Forum, The Chinese University of Hong Kong (Shenzhen), Online, December 8th, 2023.
2. Financial/Actuarial Mathematics Seminar, The University of Michigan, Online, November 29th, 2023.
3. The Mathematical Finance Series Seminars, Peking University, Online, October 27th, 2022.
4. The 6th PKU-NUS Annual International Conference on Quantitative Finance and Economics, Peking University & National University of Singapore, Online, May 2022.
5. The 6th Asian Quantitative Finance Seminar, National University of Singapore, Online, January 2021.
6. The 10th Risk Management and Actuarial Forum, Renmin University of China, Beijing, China, November 2019.