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~person:"Li, Xun"
~subject:"Portfolio-Management"
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Li, Xun
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Journal of the Operational Research Society
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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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2
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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3
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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4
Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
Kang, Zhilin
;
Li, Xun
;
Li, Zhongfei
;
Zhu, Shushang
- In:
Quantitative finance
19
(
2019
)
1
,
pp. 105-121
Persistent link: https://www.econbiz.de/10012194623
Saved in:
5
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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6
Continuous-time Markowitz's model with constraints on wealth and portfolio
Li, Xun
;
Xu, Zuo Quan
- In:
Operations research letters
44
(
2016
)
6
,
pp. 729-736
Persistent link: https://www.econbiz.de/10011622222
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7
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
Saved in:
8
Multi-period asset-liability management with cash flows and probability constraints : a mean-field formulation approach
Li, Xun
;
Wu, Xianping
;
Yao, Haixiang
- In:
Journal of the Operational Research Society
71
(
2020
)
10
,
pp. 1563-1580
Persistent link: https://www.econbiz.de/10012314367
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