Xue Dong He’s research while affiliated with The University of Hong Kong and other places

... Prior literature has studied incentives in AMMs, but no prior work has simultaneously modeled and analyzed the following three properties of CLMMs: (1) LPs can only invest up to a fixed budget, (2) LPs in CLMMs can invest different amounts in different price ranges, and (3) LPs compete against each other for fees, and thus must take into account other LPs' strategies and their budgets [26]. Most existing works focus on the study of a single LP's strategy [23] or on the case where LPs are identical [10,23,24,29,30,35], and in both cases the budget is assumed to be unlimited [35]. For legacy AMMs, [35] proposes a framework using symmetric games to show the uniqueness of the symmetric Nash equilibrium. ...

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Game Theoretic Liquidity Provisioning in Concentrated Liquidity Market Makers

... In addition to the works mentioned above, there exists an extensive literature on equilibrium asset pricing and portfolio selection with loss aversion or time-varying risk aversion and thus we do not attempt to summarize it here (e.g., Guo and He (2017);van Bilsen et al. (2020); Strub and Li (2020); Choi et al. (2022); He and Strub (2022); Li et al. (2022), and Tse and Zheng (2023)). 1 ...

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Consumption Heterogeneity, Business Cycle, and Asset Pricing

... For the aspect of solving the respective DM problems, [9] appeared to be one of the first few works that establish a mathematical framework of subgame perfect equilibrium (SPE) on top of the ideas of [31,29,27]. The framework was then popularized since the seminal work of [2] on its application to MV portfolio selection, while [5,4,15,16,37,36,22] subsequently developed the analogous dynamic programming and maximum principle frameworks for characterizing the SPE; see also the review of [14]. Motivated by the significance of model uncertainty, a developing literature introduces the robust SPE that accounts for ambiguity and time inconsistency simultaneously; see [30,21,12,13]. ...

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Robust Time-inconsistent Linear-Quadratic Stochastic Controls: A Stochastic Differential Game Approach

... In this situation, the corresponding Nash equilibrium control is not considered as a strong equilibrium strategy. (He & Jiang, 2021) investigate whether some classical time-consistent control problems have strong equilibrium strategies in the closed-loop Nash equilibrium, and find that the answer relies on the range of spike deviations. For the conventional MV portfolio problem, the time-consistent strategy is not a strong equilibrium strategy, if the spike deviation is allowed to be a general feedback function. ...

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Time-consistent portfolio selection with strictly monotone mean-variance preference

... Elicitable functionals and (strictly) consistent scoring functions are of interest due to their utility of determining (uniquely) optimal forecasts, and thus the ability to effectively backtesting predictions, see e.g., Gneiting (2011) and . The literature on elicitability in risk management is extensive, with many authors arguing for its importance (Ziegel 2016, He et al. 2022. The characterisation of elicitable convex and coherent risk measures for example has been studied in Bellini and Bignozzi (2015), while showed that Expected Shortfall (ES) is jointly elicitable with VaR. ...

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Robust Elicitable Functionals

... There also have numerous extensions of the mean-risk portfolio optimization from the single-period setting to the dynamic, continuous-time one (e.g. Zhou and Li, 2000;Bielecki et al., 2005;Jin et al., 2005;Basak and Chabakauri, 2010;He et al., 2015;Zhou et al., 2017;Gao et al., 2017;Dai et al., 2021;He and Jiang, 2021). In particular, He et al. (2015) study a continuous-time mean-risk portfolio choice when risk is measured by the weighted Valueat-Risk (WVaR) but their results are rather pessimistic. ...

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Dynamic growth-optimal portfolio choice under risk control

... By similar arguments in [5], it is easy to establish the verification theorem (Sufficiency) for the Markovian setting while the non-Markovian setting was attempted in [17]. The Necessity issue is difficult and we refer the readers to its latest progress, such as [33,17,15,11] and a comprehensive literature review of the field in [16]. ...

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Dynamic Mean-Variance Asset Allocation in General Incomplete Markets A Nonlocal BSDE-based Feedback Control Approach

... 2 Other research that has addressed optimal payoff choices under symmetric distance constraints include works by Bernard et al. (2015b), Rüschendorf and Vanduffel (2020), and He and Jiang (2021). ...

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Optimal payoff under Bregman-Wasserstein divergence constraints

... Various applications of forward preferences have been explored, including equilibrium models [26], relative preferences [6,64], and insurance applications [18,52]. Further investigations include risk measures [20,65], indifference pricing [5,59], optimal liquidation strategies [60], long-term yield curve dynamics [23], behavioral finance [30], and pension policy [33]. ...

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Robust forward investment and consumption under drift and volatility uncertainties: A randomization approach

... A follow-up study expands this model by introducing probability weighting and a convex-concave value function, providing further insights into the stock market non-participation and equity premium puzzles through the lens of narrow framing and cumulative prospect theory [10]. Another study further refined the model by assuming proportional effects of gains and losses on an agent's total utility [11]. ...

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Impact of Narrow Framing on Portfolio Allocation: A Numerical Simulation-Based Approach