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Portfolio management with robustness in both prediction and decision : a mixture model based learning approach
Zhu, Shushang; Fan, Minjie; Li, Duan - In: Journal of economic dynamics & control 48 (2014), pp. 1-25
Persistent link: https://www.econbiz.de/10010485842
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Bounded rationality as a source of loss aversion and optimism : a study of psychological adaption under incomplete information
Yao, Jing; Li, Duan - In: Journal of economic dynamics & control 37 (2013) 1, pp. 18-31
Persistent link: https://www.econbiz.de/10009703615
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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