From 53f7041b319f854c4fd1284b86d66dc979c9be47 Mon Sep 17 00:00:00 2001
From: Chen Yang <yc4646@gmail.com>
Date: Wed, 18 Jun 2025 17:35:58 +0800
Subject: [PATCH] Added the periodic evaluation paper.

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 index.html | 9 +++++++++
 1 file changed, 9 insertions(+)

diff --git a/index.html b/index.html
index 6dfdf7f..ade688e 100644
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@@ -106,6 +106,15 @@ Postgraduate Courses
         </div>
     </li><br>
 
+    <li>Periodic Evaluation with Non-Concave Utility (with <a href="https://scholar.google.com/citations?user=OzeF8T0AAAAJ&hl" target="_blank">Cong Qin</a> and <a href="https://www.ma.ic.ac.uk/~hz/"> Harry Zheng</a>).<br>
+        <b>submitted</b>. [<a href="" onclick="toggleAbstract('abs_arbPerp');return false">Abstract</a>|<a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5305617" target="_blank">SSRN</a>]<br>
+        <div style="display:none" id="abs_periodicEvaluation">
+        <hr>
+        <i>A fund manager's performance is often evaluated annually and compared with a benchmark, such as a market index. In addition, the manager may be subject to trading constraints, such as limited use of leverage, no short-selling, and a forced liquidation clause. We formulate this as a periodic evaluation problem with a non-concave utility, a stochastic reference point, and trading constraints. The value function is characterized as the unique solution to a Hamilton-Jacobi-Bellman equation with periodic terminal and boundary conditions, which must be imposed carefully due to possible discontinuities at the terminal time and/or on the liquidation boundary. We find that, at the evaluation time, future investment opportunities induce a discontinuity in the value function on the liquidation boundary, leading to a substantial change in local risk-aversion. More importantly, this local concavity/convexity weakens and shifts inward from the liquidation boundary to the interior region as the evaluation horizon increases. As a result, the joint effect of periodic evaluation and forced liquidation can generate highly nonlinear investment strategies, which is helpful in understanding the complexity of trading strategies in the loss region.</i>
+        </div>
+    </li><br>
+
+
     <li>Pricing Model for Data Assets in Investment-Consumption Framework with Ambiguity (with <a href="https://scholar.google.com/citations?user=os0TtfkAAAAJ&hl=en" target="_blank">Xiaoshan Chen</a> and Zhou Yang).<br>
         <b>submitted</b>. [<a href="" onclick="toggleAbstract('abs_dataAsset');return false">Abstract</a>|<a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5263455" target="_blank">SSRN</a>|<a href="https://arxiv.org/abs/2505.16106" target="_blank">arXiv</a>]<br>
         <div style="display:none" id="abs_dataAsset">