Narrow search
Showing 1 - 8 of 8
Cover Image
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
Cover Image
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
Cover Image
VaR constrained asset pricing with relative performance
Liu, Xiangbo; Qiu, Zhigang; Xiong, Yan - In: Economics letters 121 (2013) 2, pp. 174-178
Persistent link: https://www.econbiz.de/10010346336
Cover Image
Skill acquisition and information sales
Huang, Shiyang; Xiong, Yan; Yang, Liyan - 2017
Persistent link: https://www.econbiz.de/10011721542
Cover Image
Skill acquisition and fnformation sales
Huang, Shiyang; Xiong, Yan; Yang, Liyan - 2017
Persistent link: https://www.econbiz.de/10011646294
Cover Image
A portfolio selection model using fuzzy returns
Li, Duan; Stahlecker, Peter - 2011
Persistent link: https://www.econbiz.de/10008858048
Cover Image
Ein Ansatz zur Portfoliotheorie mit unscharfen Parametern
Li, Duan; Stahlecker, Peter - 2010
Persistent link: https://www.econbiz.de/10008858250
Cover Image
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
Persistent link: https://www.econbiz.de/10009240941