2 citations · 3 across the 5 of their papers we have counts for
8 papers
Optimal portfolio and consumption under no-shorting constraints: The exploratory formulation and reinforcement learning
Xun Li, Xiang Yu, Fengyi Yuan +1
We develop a reinforcement-learning framework for the continuous-time optimal portfolio-consumption via utility maximization under no-shorting portfolio constraints. We adopt the e…
Data-Driven Dynamic Portfolio Selection with Vine Copula Simulation and Reinforcement Learning
Gabriël M. J. Gelissen, Fengyi Yuan
We develop a data-driven approach to dynamic portfolio selection that combines vine-copula simulation with reinforcement learning. The investor has constant relative risk aversion…
Sharp functional quantization and empirical Wasserstein rates for Itô processes
Xihao He, Fengyi Yuan
We establish functional quantization and empirical Wasserstein rates for continuous Itô processes under the supremum norm. We assume that the initial condition and the drift and di…
Mean-field games with rough common noise: the compactification approach
Erhan Bayraktar, Xihao He, Xiang Yu +1
We study mean-field game (MFG) problems with rough common noise, in which the representative state dynamics are governed by a controlled rough stochastic differential equation driv…
Dynamic data generation and dynamic portfolio selection: an application of a score-based diffusion model
Ahmad Aghapour, Erhan Bayraktar, Fengyi Yuan
We study dynamic data generation and its application to model-free dynamic portfolio selection. Existing score-based diffusion models are typically designed to learn a static data…
Unified continuous-time q-learning for mean-field game and mean-field control problems
Xiaoli Wei, Xiang Yu, Fengyi Yuan
This paper studies the continuous-time q-learning in mean-field jump-diffusion models in a setting where the environment simulator does not provide direct access to the population…
Optimal consumption under loss-averse multiplicative habit-formation preferences
Bahman Angoshtari, Xiang Yu, Fengyi Yuan
This paper studies a loss-averse version of the multiplicative habit formation preference and the corresponding optimal investment and consumption strategies over an infinite horiz…
Time-inconsistent mean-field stopping problems: A regularized equilibrium approach
Xiang Yu, Fengyi Yuan
This paper studies the mean-field Markov decision process (MDP) with the centralized stopping under the non-exponential discount. The problem differs fundamentally from most existi…