YUAN, Fengyi

Assistant Professor

Education Background

Ph.D. (Tsinghua University)

Bachelor (Tsinghua University)

Research Field

Stochastic Control; Mathematical Finance (e.g., portfolio selection); Mean-field Control and Game Problems (especially those with common noise); Model Uncertainty in Dynamic Decision Problems

Academic Area

Mathematics and Applied Mathematics

Personal Website

https://fy-yuan.github.io/

Personal Website (CUHK-Shenzhen)

https://myweb.cuhk.edu.cn/yuanfengyi

yuanfengyi@cuhk.edu.cn

Biography

Dr. Fengyi Yuan obtained his Ph.D. in Mathematics from Tsinghua University in 2024. Prior to joining the School of Science and Engineering at The Chinese University of Hong Kong, Shenzhen, he was a Byrne Research Assistant Professor at the University of Michigan, Ann Arbor.

Academic Publications

1. Zongxia Liang, Jianming Xia and Fengyi Yuan. Dynamic portfolio selection for nonlinear law-dependent preferences. Mathematics of Operations Research, forthcoming.

2. Guohui Guan, Qitao Huang, Zongxia Liang, and Fengyi Yuan. Retirement decision with addictive habit persistence in a jump diffusion market. SIAM Journal on Financial Mathematics, forthcoming.

3. Xiang Yu and Fengyi Yuan. Time-inconsistent mean-field stopping problems: A regularized equilibrium approach. Finance and Stochastics, forthcoming.

4. Zongxia Liang, Xiaodong Luo and Fengyi Yuan. Equilibria for time-inconsistent singular control problems. SIAM Journal on Control and Optimization, 12(6):2024, 3213-3238.

5. Zongxia Liang, Xiaodong Luo and Fengyi Yuan. Consumption-investment decisions with endogenous reference point and drawdown constraint. Mathematics and Financial Economics, 17: 2023, pages 285-334.

6. Zongxia Liang and Fengyi Yuan. Weak equilibria for time-inconsistent control: with applications to investment-withdrawal decisions. Mathematical Finance, 33(3): 2023, pages 891-945.

7. Lin He, Zongxia Liang and Fengyi Yuan. Optimal DB-PAYGO pension management towards a habitual contribution rate. Insurance Mathematics and Economics, 94(3): 2020, pages 125-141.