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An analysis of portfolio selection with background risk
Jiang, Chonghui; Ma, Yongkai; An, Yunbi - In: Journal of banking & finance 34 (2010) 12, pp. 3055-3060
Persistent link: https://www.econbiz.de/10008901300
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The effectiveness of the VaR-based portfolio insurance strategy: an empirical analysis
Jiang, Chonghui; Ma, Yongkai; An, Yunbi - In: International review of financial analysis 18 (2009) 4, pp. 185-197
Persistent link: https://www.econbiz.de/10003921095
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The mean-variance model revisited with a cash account
Jiang, Chonghui; Ma, Yongkai; An, Yunbi - In: Journal of mathematical finance 2 (2012) 1, pp. 43-53
Persistent link: https://www.econbiz.de/10009668281
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International portfolio selection with exchange rate risk : a behavioural portfolio theory perspective
Jiang, Chonghui; Ma, Yongkai; An, Yunbi - In: Journal of banking & finance 37 (2013) 2, pp. 648-659
Persistent link: https://www.econbiz.de/10009705608
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International diversification benefits : an investigation from the perspective of Chine investors
Jiang, Chonghui; Ma, Yongkai; An, Yunbi - In: China finance review international 3 (2013) 3, pp. 225-249
Persistent link: https://www.econbiz.de/10009777659
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Portfolio selection with a systematic skewness constraint
Jiang, Chonghui; Ma, Yongkai; An, Yunbi - In: The North American journal of economics and finance : a … 37 (2016), pp. 393-405
Persistent link: https://www.econbiz.de/10011672985
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Factor tracking : a new smart beta strategy that outperforms naïve diversification
Jiang, Chonghui; Du, Jiangze; An, Yunbi; Zhang, Jinqing - In: Economic modelling 96 (2021), pp. 396-408
Persistent link: https://www.econbiz.de/10012745446
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Combining the minimum-variance and equally-weighted portfolios : can portfolio performance be improved?
Jiang, Chonghui; Du, Jiangze; An, Yunbi - In: Economic modelling 80 (2019), pp. 260-274
Persistent link: https://www.econbiz.de/10012200533
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The impact of land policy on the relation between housing and land prices : evidence from China
Du, Hongyan; Ma, Yongkai; An, Yunbi - In: The quarterly review of economics and finance : journal … 51 (2011) 1, pp. 19-27
Persistent link: https://www.econbiz.de/10009261723
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Portfolio Selection with a Systematic Skewness Constraint
Jiang, Chonghui - 2013
This paper focuses on portfolio selection with a systematic skewness constraint within the mean-variance framework. We derive the composition of efficient portfolios in our model, and analyze the properties of these efficient portfolios. We show that the required systematic skewness is achieved...
Persistent link: https://www.econbiz.de/10013083438