## Fenghui Yu

8 records found

1

## Authored

## A Novel Optimal Execution Strategy

### Using data-driven methods and stochastic modeling, with application in the FX Spot Market

It begins by proposing a new measure to evaluate the limit order book volume imbalanc ...

## Universality of Signatures in Rough Path Spaces

### A Kernel-Theoretic Approach to Local and Global Approximations

## Multi-period Robust Mean-Risk Portfolio Optimization

### Minimizing Risk and Enhancing Returns in Uncertain Market Environments

plays a crucial role in creating efficient portfolios. In this thesis, we consider

a robust multi-period Mean-Variance portfolio optimization framework and

apply it to real-world market data ...

## Optimal Pairs Trading Strategies

### A Stochastic Mean–Variance Approach

## Contributed

## A Novel Optimal Execution Strategy

### Using data-driven methods and stochastic modeling, with application in the FX Spot Market

It begins by proposing a new measure to evaluate the limit order book volume imbalanc ...

## A Novel Optimal Execution Strategy

### Using data-driven methods and stochastic modeling, with application in the FX Spot Market

It begins by proposing a new measure to evaluate the limit order book volume imbalanc ...

## Universality of Signatures in Rough Path Spaces

### A Kernel-Theoretic Approach to Local and Global Approximations

## Universality of Signatures in Rough Path Spaces

### A Kernel-Theoretic Approach to Local and Global Approximations

This thesis addresses the portfolio allocation problem within a financial market featuring one riskless asset and a risky asset exhibiting rough Bergomi volatility. The objective is to maximize the expected utility of terminal wealth with respect to power utility. The volati ...

## Multi-period Robust Mean-Risk Portfolio Optimization

### Minimizing Risk and Enhancing Returns in Uncertain Market Environments

plays a crucial role in creating efficient portfolios. In this thesis, we consider

a robust multi-period Mean-Variance portfolio optimization framework and

apply it to real-world market data ...