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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

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

Real options approach for fashionable and perishable products using stock loan with regime switching

Chiu, Chun-Hung; Shui Hung Hou; Li, Xun; Liu, Wei - In: Innovative supply chain optimization models with …, (pp. 357-377). 2017

Persistent link: https://www.econbiz.de/10011763745

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

Continuous-time Markowitz's model with constraints on wealth and portfolio

Li, Xun; Xu, Zuo Quan - In: Operations research letters 44 (2016) 6, pp. 729-736

Persistent link: https://www.econbiz.de/10011622222

Better than optimal mean-variance portfolio policy in multi-period asset-liability management problem

Cui, Xiangyu; Li, Xun; Yang, Lanzhi - In: Operations research letters 48 (2020) 6, pp. 693-696

Persistent link: https://www.econbiz.de/10012430065

Transition from factor-driven to innovation-driven urbanization in China : a study of manufacturing industry automation in Dongguan City

Xun, Li; Hui, Eddie Chi Man; Lang, Wei; Zheng, Shali; … - In: China economic review : an international journal 59 (2020), pp. 1-21

Persistent link: https://www.econbiz.de/10012596308

Multi-period asset-liability management with cash flows and probability constraints : a mean-field formulation approach

Li, Xun; Wu, Xianping; Yao, Haixiang - In: Journal of the Operational Research Society 71 (2020) 10, pp. 1563-1580

Persistent link: https://www.econbiz.de/10012314367

Pro-active regional policy and the relocation of manufacturing firms : a case study of state-led industrial relocation in Guangdong, China

Liu, Yi; Yeung, Godfrey; Liang, Yu-Tian; Xun, Li - In: Eurasian geography and economics 63 (2022) 3, pp. 362-395

Persistent link: https://www.econbiz.de/10013352695