Search Results for author: Wenyuan Wang

Found 7 papers, 2 papers with code

Optimal portfolio under ratio-type periodic evaluation in incomplete markets with stochastic factors

no code implementations26 Jan 2024 Wenyuan Wang, Kaixin Yan, Xiang Yu

With the help of the duality results in the auxiliary problems and some fixed point arguments, we further derive and verify the optimal portfolio processes in a periodic manner for the original periodic evaluation problems over an infinite horizon.

Management

Optimal Portfolio with Ratio Type Periodic Evaluation under Short-Selling Prohibition

no code implementations21 Nov 2023 Wenyuan Wang, Kaixin Yan, Xiang Yu

With the help of the results from the auxiliary problem, the value function and the optimal constrained portfolio for the original problem with periodic evaluation can be derived and verified, allowing us to discuss some financial implications under the new performance paradigm.

Multi-Tailed Vision Transformer for Efficient Inference

no code implementations3 Mar 2022 Yunke Wang, Bo Du, Wenyuan Wang, Chang Xu

To satisfy the sequential input of Transformer, the tail of ViT first splits each image into a sequence of visual tokens with a fixed length.

Risk Modelling on Liquidations with Lévy Processes

no code implementations2 Jul 2020 Aili Zhang, Ping Chen, Shuanming Li, Wenyuan Wang

The results have semi-explicit expressions in terms of the scale functions and the L\'{e}vy triplets associated with the two underlying L\'{e}vy processes.

Visual Analysis of High-Dimensional Event Sequence Data via Dynamic Hierarchical Aggregation

1 code implementation18 Jun 2019 David Gotz, Jonathan Zhang, Wenyuan Wang, Joshua Shrestha, David Borland

This paper presents a dynamic hierarchical aggregation technique that leverages a predefined hierarchy of dimensions to computationally quantify the informativeness of alternative levels of grouping within the hierarchy at runtime.

Human-Computer Interaction

Selection Bias Tracking and Detailed Subset Comparison for High-Dimensional Data

1 code implementation18 Jun 2019 David Borland, Wenyuan Wang, Jonathan Zhang, Joshua Shrestha, David Gotz

We present techniques for selection bias tracking and visualization that can be incorporated into high-dimensional exploratory visual analytics systems, with a focus on medical data with existing data hierarchies.

Human-Computer Interaction

Generalized Expected Discounted Penalty Function at General Drawdown for Lévy Risk Processes

no code implementations3 Jun 2019 Wenyuan Wang, Ping Chen, Shuanming Li

This paper considers an insurance surplus process modeled by a spectrally negative L\'{e}vy process.

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