2 papers
q-fin.RM2026
Time-consistent catastrophe risk management under the path-dependent effects
Liyuan Cui, Wenyuan Li
This paper investigates optimal investment and insurance strategies under a mean-variance criterion with path-dependent effects. We use a rough volatility model with a power kernel…
stat.ME2025
Panel Coupled Matrix-Tensor Clustering Model with Applications to Asset Pricing
Liyuan Cui, Guanhao Feng, Yuefeng Han +1
We tackle the challenge of estimating grouping structures and factor loadings in asset pricing models, where traditional regressions struggle due to sparse data and high noise. Exi…