22 citations · 30 across the 5 of their papers we have counts for
6 papers
Distributionally robust risk evaluation with a causality constraint and structural information
Bingyan Han
This work studies the distributionally robust evaluation of expected values over temporal data. A set of alternative measures is characterized by the causal optimal transport. We p…
Algorithmic pricing with independent learners and relative experience replay
Bingyan Han
In an infinitely repeated general-sum pricing game, independent reinforcement learners may exhibit collusive behavior without any communication, raising concerns about algorithmic…
Synthetic estimation for the complier average causal effect
Denis Agniel, Bing Han, Matthew Cefalu
We propose an improved estimator of the complier average causal effect (CACE). Researchers typically choose a presumably-unbiased estimator for the CACE in studies with noncomplian…
Time-inconsistency with rough volatility
Bingyan Han, Hoi Ying Wong
In this paper, we consider equilibrium strategies under Volterra processes and time-inconsistent preferences embracing mean-variance portfolio selection (MVP). Using a functional I…
Merton's portfolio problem under Volterra Heston model
Bingyan Han, Hoi Ying Wong
This paper investigates Merton's portfolio problem in a rough stochastic environment described by Volterra Heston model. The model has a non-Markovian and non-semimartingale struct…
Mean-variance portfolio selection under Volterra Heston model
Bingyan Han, Hoi Ying Wong
Motivated by empirical evidence for rough volatility models, this paper investigates continuous-time mean-variance (MV) portfolio selection under the Volterra Heston model. Due to…