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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

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

Consumption, inflation risk and dynamic hedging

Schubert, Stefan Franz; Broll, Udo - In: Contemporary economics 9 (2015) 2, pp. 171-179

Our study examines the behavior of a risk-averse investor who faces two sources of uncertainty: a random asset price and inflation risk. Both sources of uncertainty make it difficult to stabilize consumption over time. However, investors can enter risk-sharing markets, such as futures markets,...

Persistent link: https://www.econbiz.de/10011306018

Risk-constrained Kelly portfolios under alpha-stable laws

Wesselhöfft, Niels; Härdle, Wolfgang - In: Computational economics 55 (2020) 3, pp. 801-826

Persistent link: https://www.econbiz.de/10012223676

Investing with cryptocurrencies : a liquidity constrained investment approach

Trimborn, Simon; Li, Mingyang; Härdle, Wolfgang - In: Journal of financial econometrics 18 (2020) 2, pp. 280-306

Persistent link: https://www.econbiz.de/10012232957

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

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

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

Risk sharing markets and hedging a loan portfolio: a note

Broll, Udo; Guo, Xu; Welzel, Peter - In: Economics and business review 3 (2017) 4, pp. 47-54

Persistent link: https://www.econbiz.de/10011795807

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