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Optimal policy for a time consistent mean-variance model with regime switching

Li, Gang; Chen, Zhiping; Liu, Jia - In: IMA journal of management mathematics 27 (2016) 2, pp. 211-234

Persistent link: https://www.econbiz.de/10011567026

Time-consistent investment policies in Markovian markets : a case of mean-variance analysis

Chen, Zhiping; Li, Gang; Zhao, Yonggan - In: Journal of economic dynamics & control 40 (2014), pp. 293-316

Persistent link: https://www.econbiz.de/10010424358

Capital investment and momentum strategies

Jiang, Guohua; Li, Donglin; Li, George - In: Review of quantitative finance and accounting 39 (2012) 2, pp. 165-188

Persistent link: https://www.econbiz.de/10009629088

Optimal investment policy in the time consistent mean-variance formulation

Chen, Zhiping; Li, Gang; Guo, Ju'e - In: Insurance / Mathematics & economics 52 (2013) 2, pp. 145-156

Persistent link: https://www.econbiz.de/10009736120

Composite time-consistent multi-period risk measure and its application in optimal portfolio selection

Chen, Zhiping; Liu, Jia; Li, Gang; Yan, Zhe - In: Top : an official journal of the Spanish Society of … 24 (2016) 3, pp. 515-540

Persistent link: https://www.econbiz.de/10011671484

Multi-period risk measures and optimal investment policies

Chen, Zhiping; Consigli, Giorgio; Liu, Jia; Li, Gang; … - In: Optimal financial decision making under uncertainty, (pp. 1-34). 2017

Persistent link: https://www.econbiz.de/10011558439

Sensitivity analysis of distortion risk measures

Gouriéroux, Christian; Liu, Wei - 2006

Persistent link: https://www.econbiz.de/10003468643

Efficient portfolio analysis using distortion risk measures

Gouriéroux, Christian; Liu, Wei - 2006

Persistent link: https://www.econbiz.de/10003422288

Professional Investment Portfolio Management : Boosting Performance with Machine-Made Portfolios and Stock Market Evidence

Kolari, James W.; Liu, Wei; Pynnönen, Seppo - 2023

Part I: Introduction -- Chapter 1: Portfolio Theory and Practice -- Part II: Previous Asset Pricing Models -- Chapter 2: General Equilibrium Asset Pricing Models -- Chapter 3: Multifactor Asset Pricing Models -- Part III: The ZCAPM -- Chapter 4: A New Asset Pricing Model: The ZCAPM -- Chapter 5:...

Persistent link: https://www.econbiz.de/10014467008

Multifactor market indexes

Liu, Wei; Kolari, James W. - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-26

This paper combines the CRSP market index with multiple factors to create a single multifactor market index. Empirical tests of different multifactor market indexes indicate that: (1) Sharpe ratios substantially increase and GRS test statistics decrease as multifactors are incrementally added to...

Persistent link: https://www.econbiz.de/10013168866