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Research

All authors contribute equally and are sorted in alphabetical order.

Preprints

  1. Data-driven dynamic portfolio selection with vine copula simulation and reinforcement learning

    Gabriël M.J. Gelissen and Fengyi Yuan.

    2026. arXiv: 2610.20037. [arXiv]

  2. Sharp functional quantization and empirical Wasserstein rates for Itô processes

    Xihao He and Fengyi Yuan.

    2026. arXiv: 2608.07879. [arXiv]

  3. Mean-field games with rough common noise: the compactification approach

    Erhan Bayraktar, Xihao He, Xiang Yu and Fengyi Yuan.

    2026. arXiv: 2602.22602. [arXiv][ResearchGate]

  4. Dynamic data generation and dynamic portfolio selection: an application of a score-based diffusion model

    Ahmad Aghapour, Erhan Bayraktar and Fengyi Yuan.

    2025. arXiv: 2507.09916. [arXiv][code][SSRN]

    Presented in the poster sessions of GenAI in Finance Workshop of NeurIPS 2025.

  5. 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. [arXiv]

  6. Dynamic portfolio selection under generalized disappointment aversion

    Zongxia Liang, Sheng Wang, Jianming Xia and Fengyi Yuan.

    2024. arXiv: 2401.08323. [arXiv]

Journal publications

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

    Bahman Angoshtari, Xiang Yu and Fengyi Yuan.

    SIAM Journal on Financial Mathematics, 17(3): 2026, 1175–1219. [publisher][arXiv][SSRN]

  2. Dynamic portfolio selection for nonlinear law-dependent preferences

    Zongxia Liang, Jianming Xia and Fengyi Yuan.

    Mathematics of Operations Research, 51(3): 2026, 1915–1940. [publisher][arXiv]

  3. Time-inconsistent mean-field stopping problems: a regularised equilibrium approach

    Xiang Yu and Fengyi Yuan.

    Finance and Stochastics, 30(1): 2026, 179–236. [publisher][arXiv]

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

    Guohui Guan, Qitao Huang, Zongxia Liang and Fengyi Yuan.

    SIAM Journal on Financial Mathematics, 16(3): 2025, 912–958. [publisher][arXiv]

  5. Equilibria for time-inconsistent singular control problems

    Zongxia Liang, Xiaodong Luo and Fengyi Yuan.

    SIAM Journal on Control and Optimization, 62(6): 2024, 3213–3238. [publisher]

  6. Consumption-investment decisions with endogenous reference point and drawdown constraint

    Zongxia Liang, Xiaodong Luo and Fengyi Yuan.

    Mathematics and Financial Economics, 17(2): 2023, pages 285–334. [publisher]

  7. Weak equilibria for time-inconsistent control: with applications to investment-withdrawal decisions

    Zongxia Liang and Fengyi Yuan.

    Mathematical Finance, 33(3): 2023, pages 891–945. [publisher]

  8. Optimal DB-PAYGO pension management towards a habitual contribution rate

    Lin He, Zongxia Liang and Fengyi Yuan.

    Insurance: Mathematics and Economics, 94: 2020, pages 125–141. [publisher]

Selected academic presentations

  1. 15th AIMS Conference, Athens, Greece, .
  2. BFS World Congress 2026, Bologna, Italy, . [slides]
  3. NUS Quantitative Finance Conference 2026, Singapore, . [slides]
  4. SIAM Conference on Financial Mathematics and Engineering, Miami, . [slides]
  5. Financial Mathematics Seminar, BIMSA, . [slides]
  6. Financial/Actuarial Mathematics Seminar, The University of Michigan, Ann Arbor, .
  7. 2023 Global Young Scholars' Forum, The Chinese University of Hong Kong (Shenzhen), Online, .
  8. Financial/Actuarial Mathematics Seminar, The University of Michigan, Online, .
  9. The Mathematical Finance Series Seminars, Peking University, Online, .
  10. The 6th PKU-NUS Annual International Conference on Quantitative Finance and Economics, Peking University & National University of Singapore, Online, .
  11. The 6th Asian Quantitative Finance Seminar, National University of Singapore, Online, .
  12. The 10th Risk Management and Actuarial Forum, Renmin University of China, Beijing, China, .