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The mean-variance model revisited with a cash account

Jiang, Chonghui; Ma, Yongkai; An, Yunbi - In: Journal of mathematical finance 2 (2012) 1, pp. 43-53

Persistent link: https://www.econbiz.de/10009668281

Portfolio selection with a systematic skewness constraint

Jiang, Chonghui; Ma, Yongkai; An, Yunbi - In: The North American journal of economics and finance : a … 37 (2016), pp. 393-405

Persistent link: https://www.econbiz.de/10011672985

Factor tracking : a new smart beta strategy that outperforms naïve diversification

Jiang, Chonghui; Du, Jiangze; An, Yunbi; Zhang, Jinqing - In: Economic modelling 96 (2021), pp. 396-408

Persistent link: https://www.econbiz.de/10012745446

Downside risk and defaultable bond returns

Liang, Xinting; Yang, Baochen; Su, Yunpeng; An, Yunbi - In: Journal of management science and engineering 6 (2021) 1, pp. 99-110

This paper analyzes the influence of downside risk on defaultable bond returns. By introducing a defaultable bond-trading model, we show that the decline in market risk tolerance and information accuracy leads to trading loss under downside conditions. Our empirical analysis indicates that...

Persistent link: https://www.econbiz.de/10013206142

Dynamic asset pricing in delegated investment : an investigation from the perspective of heterogeneous beliefs of institutional and retail investors

Sheng, Jiliang; Xu, Si; An, Yunbi; Yang, Jun - In: Economic modelling 107 (2022), pp. 1-7

Persistent link: https://www.econbiz.de/10013367483