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Moment matching machine learning methods for risk management of large variable annuity portfolios
Xu, Wei; Chen, Yuehuan; Coleman, Conrad; Coleman, Thomas F. - In: Journal of economic dynamics & control 87 (2018), pp. 1-20
Persistent link: https://www.econbiz.de/10011973875
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Asset allocation with time series momentum and reversal
He, Xue-zhong; Li, Kai; Li, Youwei - In: Journal of economic dynamics & control 91 (2018), pp. 441-457
Persistent link: https://www.econbiz.de/10011974221
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Power-law behaviour, heterogeneity, and trend chasing
He, Xue-zhong; Li, Youwei - In: Journal of economic dynamics & control 31 (2007) 10, pp. 3396-3426
Persistent link: https://www.econbiz.de/10003569409
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Investor overconfidence and the security market line : new evidence from China
Han, Xing; Li, Kai; Li, Youwei - In: Journal of economic dynamics & control 117 (2020), pp. 1-28
Persistent link: https://www.econbiz.de/10012503334
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Momentum and the cross-section of stock volatility
Fan, Minyou; Kearney, Fearghal; Li, Youwei; Liu, Jiadong - In: Journal of economic dynamics & control 144 (2022), pp. 1-30
Persistent link: https://www.econbiz.de/10013543109