Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment. - Xue Dong He; Xun Yu Zhou (Manag. Sci., 2011)

Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR. - Xue Dong He; Hanqing Jin; Xun Yu Zhou (Math. Oper. Res., 2015)

Technical Note - Path-Dependent and Randomized Strategies in Barberis' Casino Gambling Model. - Xue Dong He; Sang Hu; Jan Oblój; Xun Yu Zhou (Oper. Res., 2017)

Rank-Dependent Utility and Risk Taking in Complete Markets. - Xue Dong He; Roy Kouwenberg; Xun Yu Zhou (SIAM J. Financial Math., 2017)

Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must Be the Sets Induced by Value at Risk. - Xue Dong He; Xian Hua Peng (Oper. Res., 2018)

Optimal Exit Time from Casino Gambling: Strategies of Precommitted and Naive Gamblers. - Xue Dong He; Sang Hu; Jan Oblój; Xun Yu Zhou (SIAM J. Control. Optim., 2019)

Optimal payoff under the generalized dual theory of choice. - Xue Dong He; Zhaoli Jiang (Oper. Res. Lett., 2021)

On the Equilibrium Strategies for Time-Inconsistent Problems in Continuous Time. - Xue Dong He; Zhaoli Jiang (SIAM J. Control. Optim., 2021)

Mean-Variance Portfolio Selection with Dynamic Targets for Expected Terminal Wealth. - Xue Dong He; Zhaoli Jiang (Math. Oper. Res., 2022)

How Endogenization of the Reference Point Affects Loss Aversion: A Study of Portfolio Selection. - Xue Dong He; Moris S. Strub (Oper. Res., 2022)

Reinforcement Learning for Financial Index Tracking. - Xian Hua Peng; Chenyin Gong; Xue Dong He (CoRR, 2023)