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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

Prospect theory and trading patterns

Yao, Jing; Li, Duan - In: Journal of banking & finance 37 (2013) 8, pp. 2793-2805

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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

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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

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The impact of a reference point determined by social comparison on wealth growth and inequality

Lou, Youcheng; Strub, Moris S.; Li, Duan; Wang, Shouyang - In: Journal of economic dynamics & control 127 (2021), pp. 1-26

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Better than Dynamic Mean-Variance : Time Inconsistency and Free Cash Flow Stream

Li, Duan - 2011

As the dynamic mean-variance portfolio selection formulation does not satisfy the principle of optimality of dynamic programming, phenomena of time inconsistency occur, i.e., investors may have incentives to deviate from the pre-committed optimal mean-variance portfolio policy during the...

Persistent link: https://www.econbiz.de/10013134488