3 papers
math.OC2026
Optimal Investment with Switching Preferences
Yu-Jui Huang, Liviu Ignat, Traian A. Pirvu +1
Major life events can significantly increase individuals' risk aversion over a sustained period of time, as empirical studies reveal. How such an event-triggered shift of risk pref…
q-fin.PR2019
Generalized Duality for Model-Free Superhedging given Marginals
Arash Fahim, Yu-Jui Huang, Saeed Khalili
In a discrete-time financial market, a generalized duality is established for model-free superhedging, given marginal distributions of the underlying asset. Contrary to prior studi…
cs.IT2019
Asymptotic Optimality in Byzantine Distributed Quickest Change Detection
Yu-Chih Huang, Yu-Jui Huang, Shih-Chun Lin
The Byzantine distributed quickest change detection (BDQCD) is studied, where a fusion center monitors the occurrence of an abrupt event through a bunch of distributed sensors that…