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Do shifts in regimes impact the disposition effect implied by prospect theory models?
Lin, Haonan; Zheng, Xu - In: Applied economics letters 29 (2022) 13, pp. 1168-1176
Persistent link: https://www.econbiz.de/10013412071
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Should (co)jump variation be included in asset allocation?
Chen, Zirong; Lin, Haonan; Zheng, Xu - In: Applied economics letters 29 (2022) 20, pp. 1868-1875
Persistent link: https://www.econbiz.de/10013412321
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Performance analysis of investing in Chinese oil paintings based on a hedonic regression model of price index
Wang, Fang; Zheng, Xu - In: China finance review international 7 (2017) 3, pp. 323-342
Persistent link: https://www.econbiz.de/10011797835
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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
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Bayesian nonparametric portfolio selection with rolling maximum drawdown control
Mei, Xiaoling; Wang, Yachong; Zhu, Weixuan - In: Quantitative finance 23 (2023) 10, pp. 1497-1510
Persistent link: https://www.econbiz.de/10014419173