Research

• Y. Shi, X. Y. Cui, J. Yao and D. Li, Dynamic trading with reference point adaptation and loss aversion, to appear in Operations Research, 2015.
• X. Y. Cui, D. Li and J. A. Yan, Classical mean variance model revisited: Pseudo efficiency, to appear in Journal of Operational Research Society (Special Issue in honor of Prof. Douglas J. White), 2014.
• X. Y. Cui, D. Li and X. Li, Mean-variance policy for discrete-time cone-constrained markets: Time consistency in efficiency and the minimum-variance signed supermartingale measure, accepted for publication in Mathematical Finance, 2014.
• S. S. Zhu, X. D. Ji and D. Li, Robust set-valued scenario approach for handling modeling risk in portfolio optimization, accepted for publication in Journal of Computational Finance, 2013.
• J. J. Gao, D. Li, X. Y. Cui and S. Y. Wang, Time cardinality constrained mean-variance dynamic portfolio selection and market timing: A stochastic control approach, AUTOMATICA, Vol. 54, pp. 91-99, 2015.
• S. S. Zhu, M. J. Fan and D. Li, Portfolio management with robustness in both prediction and decision: A mixture model based learning approach, Journal of Economic Dynamics and Control, Vol. 48, pp. 1 – 25, 2014.
• X. Y. Cui, X. Li and D. Li, Unified Framework of Mean-Field Formulations for Optimal Multi-period Mean-Variance Portfolio Selection, IEEE Transactions on Automatic Control, Vol. 59, No. 7, pp. 1833-1844, July 2014.
• X. Y. Cui, J. J. Gao, X. Li and D. Li, Optimal multiperiod mean-variance policy under no-shorting constraint, in Special Issue: 60 Years Following Harry Markowitz’s Contributions in Portfolio Theory and Operations Research, European Journal of Operational Research, Vol. 234, pp. 459 – 468, 2014.
• J. Yao, S. Yan and D. Li, Risky choice pattern of Hong Kong residents: Empirical analysis based on a TV game show, Journal of Management Sciences in China (in Chinese), Vol. 16, No. 10, pp. 1-10, 2013.
• J. J. Gao and D. Li, Optimal cardinality constrained portfolio selection, Operations Research, Vol. 61, No. 3, May – June 2013, pp. 745 – 761, 2013.
• J. Yao and D. Li, Prospect theory and trading patterns, Journal of Banking and Finance, Vol. 37, pp. 2793-2805, 2013.
• X. T. Cui, S. S. Zhu, X. L. Sun and D. Li, Nonlinear portfolio selection using approximate parametric value-at-risk, Journal of Banking and Finance, Vol. 37, pp. 2124-2139, 2013.
• J. Yao and D. Li, Bounded rationality as a source of loss aversion and optimism: A study of psychological adaptation under incomplete information, Journal of Economic Dynamics and Control, Vol. 37, pp. 18-31, 2013.
• Y. J. Li, S. S. Zhu, D. H. Li and D. Li, Active allocation of systematic risk and control of risk sensitivity in portfolio optimization, European Journal of Operational Research, Vol. 228, pp. 556-570, 2013.
• M. C. Chiu, H. Y. Wong and D. Li, Roy’s safety-first principle in financial risk management of disastrous events, Risk Analysis, Vol. 32, No. 11, pp. 1856-1872, 2012.
• S.S. Zhu, X. T. Cui, X. L. Sun and D. Li, Factor-risk constrained mean-variance portfolio selection: Formulation and global optimization solution approach, Journal of Risk, Vol. 14, No. 2, Winter 2011/12, pp. 51-89.
• X. Y. Cui, D. Li, S. Y. Wang and S. S. Zhu, Better than dynamic mean-variance: Time inconsistency and free cash flow stream, Mathematical Finance, Vol. 22, No. 2, 346-378, April 2012.
• S. S. Zhu, D. Li and X. L. Sun, Portfolio selection with marginal risk control, Journal of Computational Finance, Vol. 14, No. 1, pp. 3-28, 2010.
• Z. F. Li, J. Yao and D. Li, Behavior patterns of investment strategies under Roy’s safety-first principle, The Quarterly Review of Economics and Finance, Vol. 50, pp. 167-179, 2010.
• S. S. Zhu, D. Li and S. Y. Wang, Robust portfolio selection under downside risk measures, Quantitative Finance, Vol. 9, No. 7, pp. 869-885, 2009.
• M. C. Chiu and D. Li, Asset-liability management under the safety-first principle, Journal of Optimization Theory and Applications, Vol. 143, pp. 455-478, 2009.
• J. Yao, Z.-J. Yuan, Z.-F. Li and D. Li, Beta coefficient based on value-at-risk: Estimation methods and empirical analysis, Systems Engineering – Theory & Practice, Vol. 29, No. 7, pp. 27 -34, July 2009.
• X. L. Sun, S. F. Niu and D. Li, An exact algorithm for factor model in portfolio selection with roundlot constraints, Optimization, Vol. 58, No. 3, pp. 305-318, April 2009.
• J. F. Liang, S. Z. Zhang and D. Li, “Optioned portfolio selection: Models and analysis,” Mathematical Finance, Vol. 18, No. 4, 569-593, 2008.
• L. Yi, Z. F. Li and D. Li, “Multi-period portfolio selection for asset-liability management with uncertain investment horizon,” Journal of Industrial and Management Optimization, Vol. 4, No. 3, pp. 535-552, August 2008.
• M. C. Chiu and D. Li, “Asset and liability management under a continuous-time mean-variance optimization framework,” Insurance: Mathematics and Economics, Vol. 39, pp. 330-355, 2006.
• D. Li, X. L. Sun and J. Wang, “Optimal lot solution to cardinality constrained mean-variance formulation for portfolio selection,” Mathematical Finance, Vol. 16, No. 1, pp. 83-101, 2006.
• S.-S. Zhu, D. Li and S.-Y. Wang, “Risk control over bankruptcy in dynamic portfolio selection: A generalized mean-variance formulation,” IEEE Transactions on Automatic Control, Vol. 49, No. 3, pp. 447-457, 2004.
• X. Y. Zhou and D. Li, “Continuous time mean-variance portfolio selection: A stochastic LQ framework,” Applied Mathematics and Optimization, Vol. 42, pp. 19-33, 2000.
• D. Li and W.-L. Ng, “Optimal dynamic portfolio selection: Multi-period mean-variance formulation,” Mathematical Finance, Vol. 10, No. 3, pp. 387-406, 2000.
• D. Li, T.-F. Chan, and W.-L. Ng, “Safety-first dynamic portfolio selection,” Dynamics of Continuous, Discrete and Impulsive Systems, Vol. 4, No. 4, pp. 585-600, 1998.
• Technical Analysis and Financial Asset Forecasting—from Simple Tools to Advanced Techniques, authored by R.H. Chan, S.T. Lee and A.W. Wong, 184pp., World Scientific, 2014.
• W.K. Wong and R.H. Chan, Prospect and Markowitz Stochastic Dominance, Annals of Finance, 4 (2008), 105–129.
• R.H. Chan, C.Y. Wong, and K.M. Yeung, Pricing Multi-asset American-Style Options by Memory Reduction Monte Carlo Methods, Appl. Math. Comput., 179 (2006), 535–544.
• R.H. Chan, K.C. Ma, and C.Y. Wong, Enhanced Tilley’s Bundling Algorithm Using Memory Reduction Monte Carlo Method, Calcolo, 42 (2005), 37–46.
• R.H. Chan, Y. Chen, and K.M. Yeung, A Memory Reduction Method in Pricing American Options, J. Statist. Comput. Simulation, 74 (2004), 501–511.
• W.K. Wong and R.H. Chan, On the Estimation of Cost of Capital and its Reliability, Quantitative Finance, 4 (2004), 365–372.
• L. Li, X. Qu and G. Zhang (2015), An ecient algorithm based on eigenfunction
  expansions for some optimal timing problems in nance, forthcoming in Journal of
  Computational and Applied Mathematics.
• L. Li and V. Linetsky (2015), Discretely monitored rst passage problems and
  barrier options: an eigenfunction expansion approach, Finance and Stochatics (DOI
  10.1007/s00780-015-0271-1).
• L. Li and V. Linetsky (2014), Time-changed Ornstein-Uhlenbeck processes and
  their applications in commodity derivative models, Mathematical Finance 24(2),
  289-330.
• L. Li and V. Linetsky (2014), Optimal stopping in in nite horizon: an eigenfunction
  expansion approach, Statistics and Probability Letters 85, 122-128.
• L. Li and R. Mendoza-Arriaga (2013), Ornstein-Uhlenbeck processes time-changed
  with additive subordinators and their applications in commodity derivative models,
  Operations Research Letters 41(5), 521-525.
• L. Li and V. Linetsky (2013), Optimal stopping and early exercise: an eigenfunction
  expansion approach, Operations Research 61(3), 625-643.
• D. Lim, L. Li and V. Linetsky (2012), Evaluating callable and putable bonds:
  an eigenfunction expansion approach, Journal of Economic Dynamics and Control
  36(12), 1888-1908.
• Validity of heavy-traffic steady-state approximations in many-server queues with abandonment (with Jim Dai and Ton Dieker).  Queueing Systems, September 2014, Volume 78, Issue 1, pp 1-29
• Sensitivity analysis for diffusion processes constrained to an orthant (with Ton Dieker). 
  The Annals of Applied Probability, Volume 24, Number 5 (2014), 1918-1945.
• Positive recurrence of piecewise Ornstein-Uhlenbeck processes and common quadratic Lyapunov functions (with Ton Dieker). 
  The Annals of Applied Probability, 23, p. 1291-1317, 2013. 
• Stochastic optimal control for a general class of dynamic resource allocation problems (with Yingdong Lu, Mayank Sharma, Mark Squillante and Joost Bosman) . 
  ACM SIGMETRICS Performance Evaluation Review, 41(2), p. 3-14, 2014.
• Glasserman, P. and Wu, Q., “Forward and Future Implied Volatility”, International Journal of Theoretical and Applied Finance; 14, 407-432, 2011
• Wu, Q., “Series Expansion of the SABR Joint Density”, Mathematical Finance; 22, 310-345, 2012