12 citations · 23 across the 10 of their papers we have counts for
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q-fin.RM2021
Portfolio Optimization Constrained by Performance Attribution
Yuan Hu, W. Brent Lindquist
This paper investigates performance attribution measures as a basis for constraining portfolio optimization. We employ optimizations that minimize expected tail loss and investigat…
q-fin.RM2019★ 5 cited
Modelling Crypto Asset Price Dynamics, Optimal Crypto Portfolio, and Crypto Option Valuation
Yuan Hu, Svetlozar T. Rachev, Frank J. Fabozzi
Despite being described as a medium of exchange, cryptocurrencies do not have the typical attributes of a medium of exchange. Consequently, cryptocurrencies are more appropriately…