22 citations · 30 across the 5 of their papers we have counts for
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q-fin.MF2022★ 1 cited
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…
q-fin.MF2019★ 2 cited
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…