He conducts both theoretical and empirical research on behavioral finance, macro finance, currency markets, and contracts. His research is published or forthcoming in academic journals such as Journal of Finance, Journal of Financial Economics, Journal of Monetary Economics, Management Science, and Review of Economic Dynamics. Yu holds a B.Sci. in Probability and Statistics from University of Science and Technology of China, an M.A. in Statistics from Yale University, and a Ph.D. in Finance from University of Pennsylvania. Investor Sentiment and the Mean-Variance Relation, (joint with Yu Yuan) Journal of Financial Economics, May 2011, Vol. 100, pp. 367-381