2 papers
stat.ME2026
Estimation and Inference for Latent Markov Models by Fourier Recursions
Yanqi Huang, Chenxu Li, Qiwei Yao
This paper proposes a new theoretically exact Fourier recursion framework for a broad class of latent Markov models (LMMs), encompassing models widely used across a broad range of…
q-fin.PM2020
Wealth Effect on Portfolio Allocation in Incomplete Markets
Chenxu Li, Olivier Scaillet, Yiwen Shen
We develop a novel five-component decomposition of optimal dynamic portfolio choice, which reveals the simultaneous impacts from market incompleteness and wealth-dependent utilitie…