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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
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Self-coordination in time inconsistent stochastic decision problems : a planner-doer game framework
Cui, Xiangyu; Li, Duan; Shi, Yun - In: Journal of economic dynamics & control 75 (2017), pp. 91-113
Persistent link: https://www.econbiz.de/10011817149
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Information aggregation in a financial market with general signal structure
Lou, Youcheng; Parsa, Sahar; Ray, Debraj; Li, Duan; … - In: Journal of economic theory 183 (2019), pp. 594-624
Persistent link: https://www.econbiz.de/10012131377
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Mean-variance policy for discrete-time cone-constrained markets : time consistency in efficiency and the minimum-variance signed supermartingale measure
Cui, Xiangyu; Li, Duan; Li, Xun - In: Mathematical finance : an international journal of … 27 (2017) 2, pp. 471-504
Persistent link: https://www.econbiz.de/10011752513
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Failing to foresee the updating of the reference point leads to time-inconsistent investment
Strub, Moris S.; Li, Duan - In: Operations research 68 (2020) 1, pp. 199-213
Persistent link: https://www.econbiz.de/10012172306
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Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
Strub, Moris S.; Li, Duan; Cui, Xiangyu; Gao, Jianjun - In: Journal of economic dynamics & control 108 (2019), pp. 1-21
Persistent link: https://www.econbiz.de/10012313656
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Time consistent in efficiency dynamic mean-variance policy
Shi, Yun; Li, Duan; Cui, Xiangyu - In: Journal of the Operational Research Society 74 (2023) 1, pp. 195-208
Persistent link: https://www.econbiz.de/10014231704
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Exactness conditions for semidefinite programming relaxations of generalization of the extended trust region subproblem
Jiang, Rujun; Li, Duan - In: Mathematics of operations research 48 (2023) 3, pp. 1235-1253
Persistent link: https://www.econbiz.de/10014329218
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Effective algorithms for optimal portfolio deleveraging problem with cross impact
Luo, Hezhi; Chen, Yuanyuan; Zhang, Xianye; Li, Duan; … - In: Mathematical finance : an international journal of … 34 (2024) 1, pp. 36-89
Persistent link: https://www.econbiz.de/10014471144
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Counter-cyclical margins for option portfolios
Chen, Yuanyuan; Wu, Qi; Li, Duan - In: Journal of economic dynamics & control 146 (2023), pp. 1-33
Persistent link: https://www.econbiz.de/10014478163