11 citations · 21 across the 6 of their papers we have counts for
8 papers
Dynamic Portfolio Optimization under CVaR Constraints
Anran Hu, Silvana M. Pesenti, Xiaofei Shi
We study continuous-time dynamic portfolio optimization under a Conditional Value-at-Risk (CVaR) constraint on the investor's terminal loss. For a general class of convex trading o…
Deep Learning Algorithms for Hedging with Frictions
Xiaofei Shi, Daran Xu, Zhanhao Zhang
This work studies the deep learning-based numerical algorithms for optimal hedging problems in markets with general convex transaction costs on the trading rates, focusing on their…
On the randomness analysis of link quality prediction: limitations and benefits
Shi Xiaofei, Liao Wenxing
In wireless multi-hop networks, such as wireless sensor networks, link quality (LQ) is one of the most important metrics and is widely used in higher-layer applications such as rou…
An Equilibrium Model for the Cross-Section of Liquidity Premia
Johannes Muhle-Karbe, Xiaofei Shi, Chen Yang
We study a risk-sharing economy where an arbitrary number of heterogenous agents trades an arbitrary number of risky assets subject to quadratic transaction costs. For linear state…
Sublinear Time Numerical Linear Algebra for Structured Matrices
Xiaofei Shi, David P. Woodruff
We show how to solve a number of problems in numerical linear algebra, such as least squares regression, -regression for any , low rank approximation, and kernel…
Asset Pricing with General Transaction Costs: Theory and Numerics
Lukas Gonon, Johannes Muhle-Karbe, Xiaofei Shi
We study risk-sharing equilibria with general convex costs on the agents' trading rates. For an infinite-horizon model with linear state dynamics and exogenous volatilities, we pro…