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Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR

Strub, Moris S.; Li, Duan; Cui, Xiangyu; Gao, Jianjun - In: Journal of economic dynamics & control 108 (2019), pp. 1-21

Persistent link: https://www.econbiz.de/10012313656

A portfolio selection model using fuzzy returns

Li, Duan; Stahlecker, Peter - 2011

Persistent link: https://www.econbiz.de/10008858048

Ein Ansatz zur Portfoliotheorie mit unscharfen Parametern

Li, Duan; Stahlecker, Peter - 2010

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A portfolio selection model using fuzzy returns

Li, Duan; Stahlecker, Peter - In: Fuzzy optimization and decision making : a journal of … 10 (2011) 2, pp. 167-191

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On the pricing of expected idiosyncratic skewness

Cui, Xiangyu; Guan, Zheng - In: Economics letters 216 (2022), pp. 1-5

Persistent link: https://www.econbiz.de/10013448356

When Prospect Theory Preference Meets Mean-Reverting Asset Returns : A Dynamic Asset Allocation Model

Gao, Jianjun - 2019

We examine how the evidence of mean-reversion in stock returns affects dynamic trading behavior for investors with prospect-theory preferences. Particular attention is paid to the trading incentives created by the interaction between prospect-theory preferences and mean-reverting return...

Persistent link: https://www.econbiz.de/10012899580