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Dynamic mean-variance portfolio selection with borrowing constraint

Fu, Chenpeng; Lari-Lavassani, Ali; Li, Xun - In: European journal of operational research : EJOR 200 (2009/10) 1, pp. 312-319

Persistent link: https://www.econbiz.de/10003895181

Continuous-time mean-variance portfolio selection with partial information

Pang, Wan-Kai; Ni, Yuan-Hua; Li, Xun; Yiu, Ka-Fai Cedric - In: Journal of mathematical finance 4 (2014) 5, pp. 353-365

Persistent link: https://www.econbiz.de/10011312406

Optimal muli-period mean-variance policy under no-shorting constraint

Cui, Xiangyu; Gao, Jianjun; Li, Xun; Li, Duan - In: European journal of operational research : EJOR 234 (2014) 2, pp. 459-468

Persistent link: https://www.econbiz.de/10010356724

Portfolio risk analysis of excess of loss reinsurance

Tang, Qihe; Tong, Zhiwei; Xun, Li - In: Insurance / Mathematics & economics 102 (2022), pp. 91-110

Persistent link: https://www.econbiz.de/10013271962

Better than pre-committed optimal mean-variance policy in a jump diffusion market

Shi, Yun; Li, Xun; Cui, Xiangyu - In: Mathematical methods of operations research 85 (2017) 3, pp. 327-347

Persistent link: https://www.econbiz.de/10011714505

A mean-field formulation for multi-period asset–liability mean–variance portfolio selection with an uncertain exit time

Cui, Xiangyu; Li, Xun; Wu, Xianping; Yi, Lan - In: Journal of the Operational Research Society 69 (2018) 4, pp. 487-499

Persistent link: https://www.econbiz.de/10012225172

Multi-period defined contribution pension funds investment management with regime-switching and mortality risk

Yao, Haixiang; Chen, Ping; Li, Xun - In: Insurance / Mathematics & economics 71 (2016), pp. 103-113

Persistent link: https://www.econbiz.de/10011630616

Time consistent behavioral portfolio policy for dynamic mean-variance formulation

Cui, Xiangyu; Li, Xun; Li, Duan; Shi, Yun - In: Journal of the Operational Research Society : OR 68 (2017) 12, pp. 1647-1660

Persistent link: https://www.econbiz.de/10011816054

Data-driven robust mean-CVaR portfolio selection under distribution ambiguity

Kang, Zhilin; Li, Xun; Li, Zhongfei; Zhu, Shushang - In: Quantitative finance 19 (2019) 1, pp. 105-121

Persistent link: https://www.econbiz.de/10012194623

Optimal stopping investment in a logarithmic utility-based portfolio selection problem

Li, Xun; Wu, Xianping; Zhou, Wenxin - In: Financial innovation : FIN 3 (2017) 28, pp. 1-10

Background: In this paper, we study the right time for an investor to stop the investment over a given investment horizon so as to obtain as close to the highest possible wealth as possible, according to a Logarithmic utility-maximization objective involving the portfolio in the drift and...

Persistent link: https://www.econbiz.de/10011772237