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Time-consistent and self-coordination strategies for multi-period mean-Conditional Value-at-Risk portfolio selection
期刊论文
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2019, 卷号: 276, 期号: 2, 页码: 781-789
作者:
Cui, Xiangyu
;
Gao, Jianjun
;
Shi, Yun
;
Zhu, Shushang
收藏
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浏览/下载：37/0
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提交时间：2019/08/22
Investment analysis
Conditional Value-at-Risk
Multi-period mean-CVaR portfolio selection
Time-consistent strategy
Self-coordination strategy
Non-zero-sum stochastic differential reinsurance and investment games with default risk
期刊论文
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2018, 卷号: 264, 期号: 3, 页码: 1144-1158
作者:
Deng, Chao
;
Zeng, Xudong
;
Zhu, Huiming
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浏览/下载：7/0
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提交时间：2019/08/22
Decision analysis
Game theory
Default risk
Reinsurance and investment
Heston volatility model
Time consistent behavioral portfolio policy for dynamic mean-variance formulation
期刊论文
JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY, 2017, 卷号: 68, 期号: 12, 页码: 1647-1660
作者:
Cui, Xiangyu
;
Li, Xun
;
Li, Duan
;
Shi, Yun
收藏
|
浏览/下载：9/0
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提交时间：2019/08/22
investment analysis
state-dependent risk aversion
dynamic mean-variance formulation
time consistency
behavioral portfolio policy
Better than pre-committed optimal mean-variance policy in a jump diffusion market
期刊论文
MATHEMATICAL METHODS OF OPERATIONS RESEARCH, 2017, 卷号: 85, 期号: 3, 页码: 327-347
作者:
Shi, Yun
;
Li, Xun
;
Cui, Xiangyu
收藏
|
浏览/下载：17/0
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提交时间：2019/08/22
Mean field approach
Pre-committed optimal mean-variance policy
Jump diffusion market
Time consistency in efficiency
Semi-self-financing revised policy
Dynamic mean-VaR portfolio selection in continuous time
期刊论文
QUANTITATIVE FINANCE, 2017, 卷号: 17, 期号: 10, 页码: 1631-1643
作者:
Zhou, Ke
;
Gao, Jiangjun
;
Li, Duan
;
Cui, Xiangyu
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浏览/下载：6/0
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提交时间：2019/08/22
Continuous time models
Martingales
Portfolio optimization
Risk management
Value at risk
G11
C61
Dynamic mean-LPM portfolio optimization under the mean-reverting market
会议论文
作者:
Niu, Yiwei
;
Gao, Jianjun
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浏览/下载：2/0
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提交时间：2019/08/22
Dynamic Portfolio Optimization
Lower Partial Moment
Martingale Method
Optimal asset management for defined-contribution pension funds with default risk
期刊论文
JOURNAL OF RISK, 2016, 卷号: 19, 期号: 1, 页码: 63-76
作者:
Bian, Shibo
;
Cicon, James
;
Zhang, Yi
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浏览/下载：3/0
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提交时间：2019/08/22
defined-contribution pension plan
optimal investment
defaultable bond
stochastic salary
martingale approach
Classical mean-variance model revisited: pseudo efficiency
期刊论文
JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY, 2015, 卷号: 66, 期号: 10, 页码: 1646-1655
作者:
Cui, Xiangyu
;
Duan, Li
;
Yan, Jiaan
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浏览/下载：14/0
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提交时间：2018/07/30
mean-variance portfolio selection
minimum cost policy
binding budget spending
optimal wealth management
Classical mean-variance model revisited: pseudo efficiency
期刊论文
JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY, 2015, 卷号: 66, 期号: 10, 页码: 1646-1655
作者:
Cui, Xiangyu
;
Duan, Li
;
Yan, Jiaan
收藏
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浏览/下载：3/0
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提交时间：2019/08/22
mean-variance portfolio selection
minimum cost policy
binding budget spending
optimal wealth management
Optimal Multi-period Mean-Variance Policy with Management Costs
会议论文
作者:
Cui, Xiangyu
;
Gao, Jianjun
;
Shi, Yun
收藏
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浏览/下载：3/0
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提交时间：2019/08/22
multi-period mean-variance model
proportional management costs
duality theory
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