Narrow search
Showing 1 - 10 of 61
Cover Image
Better than dynamic mean-variance : time inconsistency and free cash flow stream
Cui, Xiangyu; Li, Duan; Wang, Shouyang; Zhu, Shushang - In: Mathematical finance : an international journal of … 22 (2012) 2, pp. 346-378
Persistent link: https://www.econbiz.de/10009613192
Cover Image
Dynamic trading with reference point adaptation and loss aversion
Shi, Yun; Cui, Xiangyu; Yao, Jing; Li, Duan - In: Operations research 63 (2015) 4, pp. 789-806
Persistent link: https://www.econbiz.de/10011313231
Cover Image
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
Cover Image
Model uncertainty on commodity portfolios, the role of convenience yield
Chen, Junhe; Escobar, Marcos - In: Annals of finance 17 (2021) 4, pp. 501-528
Persistent link: https://www.econbiz.de/10012664148
Cover Image
Behavioral portfolio choice under hyperbolic absolute risk aversion
Escobar, Marcos; Lichtenstern, Andreas; Zagst, Rudi - In: International journal of theoretical and applied finance 23 (2020) 7, pp. 1-33
Persistent link: https://www.econbiz.de/10012496902
Cover Image
Behavioral portfolio insurance strategies
Escobar, Marcos; Lichtenstern, Andreas; Zagst, Rudi - In: Financial markets and portfolio management 34 (2020) 4, pp. 353-399
Persistent link: https://www.econbiz.de/10012309906
Cover Image
Failing to foresee the updating of the reference point leads to time-inconsistent investment
Strub, Moris S.; Li, Duan - In: Operations research 68 (2020) 1, pp. 199-213
Persistent link: https://www.econbiz.de/10012172306
Cover Image
Portfolio optimization with nonparametric value at risk : a block coordinate descent method
Cui, Xueting; Sun, Xiaoling; Zhu, Shushang; Jiang, Rujun; … - In: INFORMS journal on computing : JOC 30 (2018) 3, pp. 454-471
Persistent link: https://www.econbiz.de/10011948064
Cover Image
Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
Gao, Jianjun; Xiong, Yan; Li, Duan - In: European journal of operational research : EJOR 249 (2016) 2, pp. 647-656
Persistent link: https://www.econbiz.de/10011436797
Cover Image
Robust portfolio choice with derivative trading under stochastic volatility
Escobar, Marcos; Ferrando, Sebastian; Rubtsov, Alexey - In: Journal of banking & finance 61 (2015), pp. 142-157
Persistent link: https://www.econbiz.de/10011545164