108 citations · 345 across the 44 of their papers we have counts for
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math.OC2017★ 29 cited
Optimal Equilibria for Time-Inconsistent Stopping Problems in Continuous Time
Yu-Jui Huang, Zhou Zhou
For an infinite-horizon continuous-time optimal stopping problem under non-exponential discounting, we look for an optimal equilibrium, which generates larger values than any other…
q-fin.MF2017
A Mathematical Analysis of Technical Analysis
Matthew Lorig, Zhou Zhou, Bin Zou
In this paper, we investigate trading strategies based on exponential moving averages (ExpMAs) of an underlying risky asset. We study both logarithmic utility maximization and long…
math.OC2017★ 37 cited
The Optimal Equilibrium for Time-Inconsistent Stopping Problems -- the Discrete-Time Case
Yu-Jui Huang, Zhou Zhou
We study an infinite-horizon discrete-time optimal stopping problem under non-exponential discounting. A new method, which we call the iterative approach, is developed to find subg…