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Xiang Mei Yu · Study

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Xiang Mei Yu

5 works· latest 2022· 1 institutionscluster: provisionalORCID 0000-0003-4053-7876

h-index5

i105

Citations110

Works here5

17

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22

Most cited in this library

Optimal Consumption with Reference to Past Spending Maximum2020 · 32 citations
Optimal consumption under habit formation in markets with transaction costs and random endowments2017 · 26 citations
On Dynamic Programming Principle for Stochastic Control Under Expectation Constraints2020 · 20 citations
Optimal Tracking Portfolio with a Ratcheting Capital Benchmark2021 · 17 citations
Optimal consumption and life insurance under shortfall aversion and a drawdown constraint2022 · 15 citations

Works

5 shown

Optimal consumption and life insurance under shortfall aversion and a drawdown constraint

Insurance Mathematics and Economics·2022·3 authors·Open access

15citations

Optimal Tracking Portfolio with a Ratcheting Capital Benchmark

SIAM Journal on Control and Optimization·2021·3 authors·Open access

17citations

On Dynamic Programming Principle for Stochastic Control Under Expectation Constraints

Journal of Optimization Theory and Applications·2020·3 authors·Open access

20citations

Optimal Consumption with Reference to Past Spending Maximum

Finance and Stochastics·2020·4 authors·Open access

32citations

Optimal consumption under habit formation in markets with transaction costs and random endowments

The Annals of Applied Probability·2017·1 author·Open access

26citations