Xue Dong He

Publication Activity (10 Years)

Years Active: 2011-2023
Publications (10 Years): 9

Top Topics

Portfolio Management

Markov Decision

Reference Point

Portfolio Selection

Top Venues

Math. Oper. Res.

SIAM J. Control. Optim.

Oper. Res. Lett.

Publications

Xian Hua Peng, Chenyin Gong, Xue Dong He
Reinforcement Learning for Financial Index Tracking. CoRR (2023)
Xue Dong He, Moris S. Strub
How Endogenization of the Reference Point Affects Loss Aversion: A Study of Portfolio Selection. Oper. Res. 70 (6) (2022)
Xue Dong He, Zhaoli Jiang
Mean-Variance Portfolio Selection with Dynamic Targets for Expected Terminal Wealth. Math. Oper. Res. 47 (1) (2022)
Xue Dong He, Zhaoli Jiang
On the Equilibrium Strategies for Time-Inconsistent Problems in Continuous Time. SIAM J. Control. Optim. 59 (5) (2021)
Xue Dong He, Zhaoli Jiang
Optimal payoff under the generalized dual theory of choice. Oper. Res. Lett. 49 (3) (2021)
Xue Dong He, Sang Hu, Jan Oblój, Xun Yu Zhou
Optimal Exit Time from Casino Gambling: Strategies of Precommitted and Naive Gamblers. SIAM J. Control. Optim. 57 (3) (2019)
Xue Dong He, Xian Hua Peng
Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must Be the Sets Induced by Value at Risk. Oper. Res. 66 (5) (2018)
Xue Dong He, Sang Hu, Jan Oblój, Xun Yu Zhou
Technical Note - Path-Dependent and Randomized Strategies in Barberis' Casino Gambling Model. Oper. Res. 65 (1) (2017)
Xue Dong He, Roy Kouwenberg, Xun Yu Zhou
Rank-Dependent Utility and Risk Taking in Complete Markets. SIAM J. Financial Math. 8 (1) (2017)
Xue Dong He, Hanqing Jin, Xun Yu Zhou
Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR. Math. Oper. Res. 40 (3) (2015)
Xue Dong He, Xun Yu Zhou
Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment. Manag. Sci. 57 (2) (2011)