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Multi-period mean-variance por...
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Time-consistent and self-coordination strategies for multi-period mean-Conditional Value-at-Risk portfolio selection
Cui, Xiangyu
;
Gao, Jianjun
;
Shi, Yun
;
Zhu, Shushang
- In:
European journal of operational research : EJOR
276
(
2019
)
2
,
pp. 781-789
Persistent link: https://www.econbiz.de/10012003667
Saved in:
2
Optimal muli-period mean-variance policy under no-shorting constraint
Cui, Xiangyu
;
Gao, Jianjun
;
Li, Xun
;
Li, Duan
- In:
European journal of operational research : EJOR
234
(
2014
)
2
,
pp. 459-468
Persistent link: https://www.econbiz.de/10010356724
Saved in:
3
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
Saved in:
4
Multi-period portfolio choice under loss aversion with dynamic reference point in serially correlated market
Gao, Jianjun
;
Li, Yaoming
;
Shi, Yun
;
Xie, Jinyan
- In:
Omega : the international journal of management science
127
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014557792
Saved in:
5
Dynamic trading with reference point adaptation and loss aversion
Shi, Yun
;
Cui, Xiangyu
;
Yao, Jing
;
Li, Duan
- In:
Operations research
63
(
2015
)
4
,
pp. 789-806
Persistent link: https://www.econbiz.de/10011313231
Saved in:
6
Better than pre-committed optimal mean-variance policy in a jump diffusion market
Shi, Yun
;
Li, Xun
;
Cui, Xiangyu
- In:
Mathematical methods of operations research
85
(
2017
)
3
,
pp. 327-347
Persistent link: https://www.econbiz.de/10011714505
Saved in:
7
Discrete-time behavioral portfolio selection under cumulative prospect theory
Shi, Yun
;
Cui, Xiangyu
;
Li, Duan
- In:
Journal of economic dynamics & control
61
(
2015
),
pp. 283-302
Persistent link: https://www.econbiz.de/10011589538
Saved in:
8
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
Saved in:
9
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
Saved in:
10
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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