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Moris Simon Strub
Moris Simon Strub
Warwick Business School
Verified email at wbs.ac.uk - Homepage
Title
Cited by
Cited by
Year
Risk and potential: An asset allocation framework with applications to robo-advising
XY Cui, D Li, X Qiao, MS Strub
Journal of the Operations Research Society of China 10 (3), 529-558, 2022
43*2022
Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
MS Strub, D Li, X Cui, J Gao
Journal of Economic Dynamics and Control 108, 103751, 2019
402019
Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion
XD He, MS Strub, T Zariphopoulou
Mathematical Finance 31 (2), 683-721, 2021
282021
Evolution of the Arrow–Pratt measure of risk-tolerance for predictable forward utility processes
MS Strub, XY Zhou
Finance and Stochastics 25, 331-358, 2021
272021
Failing to foresee the updating of the reference point leads to time-inconsistent investment
MS Strub, D Li
Operations Research, 2019
232019
How endogenization of the reference point affects loss aversion: a study of portfolio selection
XD He, MS Strub
Operations Research 70 (6), 3035-3053, 2022
212022
Predictable forward performance processes: Infrequent evaluation and applications to human‐machine interactions
G Liang, MS Strub, Y Wang
Mathematical Finance 33 (4), 1248-1286, 2023
16*2023
A note on monotone mean–variance preferences for continuous processes
MS Strub, D Li
Operations Research Letters 48 (4), 397-400, 2020
152020
Portfolio selection with exploration of new investment assets
LDG Aquino, D Sornette, MS Strub
European Journal of Operational Research 310 (2), 773-792, 2023
102023
The impact of a reference point determined by social comparison on wealth growth and inequality
Y Lou, MS Strub, D Li, S Wang
Journal of Economic Dynamics and Control 127, 104120, 2021
6*2021
Gaining a Seat at the Table: Enhancing the Attractiveness of Online Lending for Institutional Investors
RD Gopal, X Qiao, MS Strub, Z Yang
Information Systems Research, 2024
5*2024
Optimal strategies and values for monotone and classical mean-variance preferences coincide when asset prices are continuous
J Du, MS Strub
Operations Research Letters 57, 107204, 2024
4*2024
Predictable relative forward performance processes: Multi-agent and mean field games for portfolio management
G Liang, MS Strub, Y Wang
arXiv preprint arXiv:2311.04841, 2023
12023
Following the actions of others: The simple average of strategies in a rational expectations economy
Y Lou, MS Strub, S Wang
Available at SSRN 4185280, 2022
12022
The Economics of Litigation Finance
SC Lera, R Mahari, MS Strub
Available at SSRN 4091716, 2022
12022
Advances in Portfolio Selection: Reference Points, Conditional Value-at-Risk, Mean-Variance Induced Utility Functions and Predictable Forward Processes
MS Strub
12018
How to Choose a Model? A Consequentialist Approach Applied to Portfolio Selection in Continuous-Time
MS Strub, T Zariphopoulou
A Consequentialist Approach Applied to Portfolio Selection in Continuous …, 2024
2024
Reference-dependent asset pricing with a stochastic consumption-dividend ratio
LDG Aquino, X He, MS Strub, Y Yang
arXiv preprint arXiv:2401.12856, 2024
2024
Counterfactual Analysis via Large Language Models
R Gopal, Q Xiao, MS Strub, Z Yang
ICAIF'24: The 5th ACM International Conference on AI in Finance (ICAIF 2024), 2024
2024
Leveling the Field: Equitable Interest Rates for Unsecured Personal Loans
Z Yang, RD Gopal, X Qiao, MS Strub
2024
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