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Classical mean-variance model revisited : pseudo efficiency
Cui, Xiangyu; Li, Duan; Yan, Jia-an - In: Journal of the Operational Research Society : OR 66 (2015) 10, pp. 1646-1655
Persistent link: https://www.econbiz.de/10011417708
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Multi-period mean-variance portfolio optimization with management fees
Cui, Xiangyu; Gao, Jianjun; Shi, Yun - In: Operational research : an international journal 21 (2021) 2, pp. 1333-1354
Persistent link: https://www.econbiz.de/10012584207
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Better than pre-committed optimal mean-variance policy in a jump diffusion market
Shi, Yun; Li, Xun; Cui, Xiangyu - In: Mathematical methods of operations research 85 (2017) 3, pp. 327-347
Persistent link: https://www.econbiz.de/10011714505
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A mean-field formulation for multi-period asset–liability mean–variance portfolio selection with an uncertain exit time
Cui, Xiangyu; Li, Xun; Wu, Xianping; Yi, Lan - In: Journal of the Operational Research Society 69 (2018) 4, pp. 487-499
Persistent link: https://www.econbiz.de/10012225172
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Time-consistent and self-coordination strategies for multi-period mean-Conditional Value-at-Risk portfolio selection
Cui, Xiangyu; Gao, Jianjun; Shi, Yun; Zhu, Shushang - In: European journal of operational research : EJOR 276 (2019) 2, pp. 781-789
Persistent link: https://www.econbiz.de/10012003667
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Time consistent behavioral portfolio policy for dynamic mean-variance formulation
Cui, Xiangyu; Li, Xun; Li, Duan; Shi, Yun - In: Journal of the Operational Research Society : OR 68 (2017) 12, pp. 1647-1660
Persistent link: https://www.econbiz.de/10011816054
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Mean-variance policy for discrete-time cone-constrained markets : time consistency in efficiency and the minimum-variance signed supermartingale measure
Cui, Xiangyu; Li, Duan; Li, Xun - In: Mathematical finance : an international journal of … 27 (2017) 2, pp. 471-504
Persistent link: https://www.econbiz.de/10011752513
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Better than optimal mean-variance portfolio policy in multi-period asset-liability management problem
Cui, Xiangyu; Li, Xun; Yang, Lanzhi - In: Operations research letters 48 (2020) 6, pp. 693-696
Persistent link: https://www.econbiz.de/10012430065
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Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
Strub, Moris S.; Li, Duan; Cui, Xiangyu; Gao, Jianjun - In: Journal of economic dynamics & control 108 (2019), pp. 1-21
Persistent link: https://www.econbiz.de/10012313656
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Time consistent in efficiency dynamic mean-variance policy
Shi, Yun; Li, Duan; Cui, Xiangyu - In: Journal of the Operational Research Society 74 (2023) 1, pp. 195-208
Persistent link: https://www.econbiz.de/10014231704