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Change-point detection for expected shortfall in time series

Sun, Lingyu; Li, Dong - In: Journal of management science and engineering 6 (2021) 3, pp. 324-335

Expected shortfall (ES) is a popular risk measure and plays an important role in risk and portfolio management. Recently, change-point detection of risk measures has been attracting much attention in finance. Based on the self-normalized CUSUM statistic in Fan, Glynn and Pelger (2018) and the...

Persistent link: https://www.econbiz.de/10013206368

Public hedge funds

Sun, Lin; Teo, Melvyn - In: Journal of financial economics 131 (2019) 1, pp. 44-60

Persistent link: https://www.econbiz.de/10012130879

Responsible hedge funds

Liang, Hao; Sun, Lin; Teo, Melvyn - In: Review of finance : journal of the European Finance … 26 (2022) 6, pp. 1585-1633

Persistent link: https://www.econbiz.de/10013543081

Asymptotic subadditivity/superadditivity of Value-at-Risk under tail dependence

Zhu, Wenhao; Li, Lujun; Yang, Jingping; Xie, Jiehua; … - In: Mathematical finance : an international journal of … 33 (2023) 4, pp. 1314-1369

Persistent link: https://www.econbiz.de/10014370668

Mean-variance-skewness model for portfolio selction with fuzzy returns

Li, Xiang; Qin, Zhongfeng; Kar, Samarjit - In: European journal of operational research : EJOR 202 (2010) 1, pp. 239-247

Persistent link: https://www.econbiz.de/10003960101

An expected regret minimization portfolio selection model

Li, Xiang; Shou, Biying; Qin, Zhongfeng - In: European journal of operational research : EJOR 218 (2012) 2, pp. 484-492

Persistent link: https://www.econbiz.de/10009505338

Robustness to dependency in portfolio optimization using overlapping marginals

Doan, Xuan Vinh; Li, Xiaobo; Natarajan, Karthik - In: Operations research 63 (2015) 6, pp. 1468-1488

Persistent link: https://www.econbiz.de/10011422605

A note on allocation of portfolio shares of random assets with Archimedean copula

Li, Xiaohu; You, Yinping - In: Stochastic methods in reliability and risk management : …, (pp. 155-167). 2014

Persistent link: https://www.econbiz.de/10010239387

Idiosyncratic volatility and the pricing of poorly-diversified portfolios

Miffre, Joëlle; Brooks, Chris; Li, Xiafei - In: International review of financial analysis 30 (2013), pp. 78-85

Persistent link: https://www.econbiz.de/10010459997

On allocations to portfolios of assets with statistically dependent potential risk returns

Li, Xiaohu; Li, Chen - In: Insurance / Mathematics & economics 68 (2016), pp. 178-186

Persistent link: https://www.econbiz.de/10011492664