Reference-dependent asset pricing with a stochastic consumption-dividend ratio

1 code implementation • 23 Jan 2024 • Luca De Gennaro Aquino, Xuedong He, Moris Simon Strub, Yuting Yang

First, we consider a general model in which the agent's preferences include both contemporaneous gain-loss utility, that is, utility from the difference between current consumption and previously held expectations about current consumption, and prospective gain-loss utility, that is, utility from the difference between intertemporal beliefs about future consumption.

Regret Bounds for Markov Decision Processes with Recursive Optimized Certainty Equivalents

no code implementations • 30 Jan 2023 • Wenhao Xu, Xuefeng Gao, Xuedong He

The optimized certainty equivalent (OCE) is a family of risk measures that cover important examples such as entropic risk, conditional value-at-risk and mean-variance models.

reinforcement-learning Reinforcement Learning (RL)

Improving Model Drift for Robust Object Tracking

no code implementations • 2 Dec 2019 • Qiujie Dong, Xuedong He, Haiyan Ge, Qin Liu, Aifu Han, Shengzong Zhou

However, in complex scenes, the apparent characteristics of the tracked target are variable, which makes it easy to pollute the model and cause the model drift.

Object Object Tracking