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.

Journal Publications

1. Zongxia Liang, Jianming Xia and Fengyi Yuan. Dynamic portfolio selection for nonlinear law-dependent preferences. Mathematics of Operations Research, forthcoming.
2. Guohui Guan, Qitao Huang, Zongxia Liang, and Fengyi Yuan. Retirement decision with addictive habit persistence in a jump diffusion market. SIAM Journal on Financial Mathematics, forthcoming.
3. Xiang Yu and Fengyi Yuan. Time-inconsistent mean-field stopping problems: A regularized equilibrium approach. Finance and Stochastics, forthcoming.
4. Zongxia Liang, Xiaodong Luo and Fengyi Yuan. Equilibria for time-inconsistent singular control problems. SIAM Journal on Control and Optimization, 12(6):2024, 3213-3238.
5. 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.
6. 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.
7. 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. Financial Mathematics Seminar, BIMSA, May 22nd, 2025. Download Slides
2. 2023 Global Young Scholars’ Forum, The Chinese University of Hong Kong (Shenzhen), Online, December 8th, 2023.
3. Financial/Actuarial Mathematics Seminar, The University of Michigan, Online, November 29th, 2023.
4. The Mathematical Finance Series Seminars, Peking University, Online, October 27th, 2022.
5. The 6th PKU-NUS Annual International Conference on Quantitative Finance and Economics, Peking University & National University of Singapore, Online, May 2022.
6. The 6th Asian Quantitative Finance Seminar, National University of Singapore, Online, January 2021.
7. The 10th Risk Management and Actuarial Forum, Renmin University of China, Beijing, China, November 2019.