1 citations · 1 across the 3 of their papers we have counts for
3 papers
cs.LG2022★ 1 cited
Nonparametric Factor Trajectory Learning for Dynamic Tensor Decomposition
Zheng Wang, Shandian Zhe
Tensor decomposition is a fundamental framework to analyze data that can be represented by multi-dimensional arrays. In practice, tensor data is often accompanied by temporal infor…
q-fin.MF2016
Optimal Risk-Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics
Tim Leung, Zheng Wang
This paper studies the optimal risk-averse timing to sell a risky asset. The investor's risk preference is described by the exponential, power, or log utility. Two stochastic model…
q-fin.MF2014
Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs
Tim Leung, Xin Li, Zheng Wang
This paper analyzes the problem of starting and stopping a Cox-Ingersoll-Ross (CIR) process with fixed costs. In addition, we also study a related optimal switching problem that in…