Jingyuan Li

Lingnan University - Department of Finance and Insurance

Castle Peak Road

Tuen Mun, New Territories

Hong Kong

China

  • Lingnan University - Department of Finance and Insurance

SCHOLARLY PAPERS

19

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19

Scholarly Papers (19)

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1.

An Extension of the Consumption-Based CAPM Model

Number of pages: 42 Posted: 08 Mar 2012 Last Revised: 01 Oct 2012
Georges Dionne, Jingyuan Li and Cedric Okou
HEC Montreal - Department of Finance, Lingnan University - Department of Finance and Insurance and University of Quebec at Montreal (UQAM)
Downloads 223 (159,789)
Citation 6

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Consumption-based CAPM, Risk premium, Equity premium puzzle, Expectation dependence, Ross risk aversion

2.

A Theoretical Extension of the Consumption-Based CAPM Model

Number of pages: 27 Posted: 13 Dec 2010 Last Revised: 02 Jun 2011
Georges Dionne and Jingyuan Li
HEC Montreal - Department of Finance and Lingnan University - Department of Finance and Insurance
Downloads 170 (204,578)
Citation 1

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Consumption-Based CAPM, Risk Premium, Equity Premium Puzzle, Expectation Dependence, Ross risk aversion

3.

An Alternative Representation of the C-CAPM with Higher-Order Risks

Number of pages: 47 Posted: 02 Oct 2012 Last Revised: 06 Apr 2018
Georges Dionne, Jingyuan Li and Cedric Okou
HEC Montreal - Department of Finance, Lingnan University - Department of Finance and Insurance and University of Quebec at Montreal (UQAM)
Downloads 158 (217,626)

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C-CAPM, Expectation dependence, Higher-order risk, equity risk premium, variance risk premium

4.

First-Order (Conditional) Risk Aversion, Background Risk and Risk Diversification

Number of pages: 20 Posted: 02 Apr 2011 Last Revised: 24 May 2011
Georges Dionne and Jingyuan Li
HEC Montreal - Department of Finance and Lingnan University - Department of Finance and Insurance
Downloads 110 (287,555)
Citation 1

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Expected utility theory, first-order conditional dependent risk aversion, background risk, risk diversification, stock market participation puzzle.

5.

The Effect of Time and Ambiguity Preferences on Saving and Insurance

Number of pages: 18 Posted: 14 Aug 2014 Last Revised: 11 Apr 2015
Jingyuan Li and Jianli Wang
Lingnan University - Department of Finance and Insurance and Nanjing University of Aeronautics and Astronautics - College of Economics and Management
Downloads 97 (313,072)

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Precautionary saving; Self-insurance; Self-protection; Smooth ambiguity aversion; Intertemporal substitution; Risk aversion

6.

Can Higher-Order Risks Explain the Credit Spread Puzzle?

Number of pages: 51 Posted: 01 Jun 2016
Cedric Okou, Olfa Maalaoui Chun, Georges Dionne and Jingyuan Li
University of Quebec at Montreal (UQAM), Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance, HEC Montreal - Department of Finance and Lingnan University - Department of Finance and Insurance
Downloads 91 (326,147)
Citation 1

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Credit Spread Puzzle, Asymmetry, Illiquidity, Higher-Order Risks

7.

Precautionary Saving with Selden/Kreps-Porteus Preferences Revisited

Number of pages: 14 Posted: 24 Jun 2014 Last Revised: 05 Jan 2015
Jingyuan Li and Jianli Wang
Lingnan University - Department of Finance and Insurance and Nanjing University of Aeronautics and Astronautics - College of Economics and Management
Downloads 69 (383,333)
Citation 2

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Precautionary saving; Prudence; Selden/Kreps-Porteus Preferences

8.

Comparative Ross Risk Aversion in the Presence of Mean Dependent Risks

Number of pages: 25 Posted: 10 Feb 2012 Last Revised: 05 Apr 2019
Georges Dionne and Jingyuan Li
HEC Montreal - Department of Finance and Lingnan University - Department of Finance and Insurance
Downloads 65 (395,581)
Citation 3

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Comparative cross Ross risk aversion, dependent background risk, partial risk premium, decreasing cross Ross risk aversion, n-switch independence property

9.

Higher-Order Risk Attitudes toward Correlation

Number of pages: 18 Posted: 28 May 2013 Last Revised: 02 Jun 2013
Jingyuan Li
Lingnan University - Department of Finance and Insurance
Downloads 53 (436,599)

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higher-order risk attitudes, stochastic dominance dependence, correlation, covariance

10.

On the Strictly Decreasing Utility (Value) Premium of Friedman-Savage

Number of pages: 14 Posted: 06 Jun 2014
Jingyuan Li and Jianli Wang
Lingnan University - Department of Finance and Insurance and Nanjing University of Aeronautics and Astronautics - College of Economics and Management
Downloads 48 (455,534)

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Utility premium; Value premium; Comparative statics; Changes in risk; Precautionary saving

11.

The Comparative Statics of Ambiguity Aversion on Precautionary Paying for Stochastic Improvements

Number of pages: 28 Posted: 12 Nov 2015
Jingyuan Li and Jianli Wang
Lingnan University - Department of Finance and Insurance and Nanjing University of Aeronautics and Astronautics - College of Economics and Management
Downloads 37 (503,364)

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Comparative statics; Precautionary paying; Smooth ambiguity aversion;Aversion to intertemporal substitution; Risk aversion

12.

Lattice-Based Monotone Comparative Statics on Precautionary Paying for Stochastic Improvements

Number of pages: 31 Posted: 01 Jul 2016
Jingyuan Li and Jianli Wang
Lingnan University - Department of Finance and Insurance and Nanjing University of Aeronautics and Astronautics - College of Economics and Management
Downloads 30 (538,683)

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Lattice-based monotone comparative statics; Precautionary paying; Smooth ambiguity

13.

Fear of Loss and Happiness of Win: Properties and Applications

Journal of Risk and Insurance, Vol. 77, Issue 4, pp. 749-766, December 2010
Number of pages: 18 Posted: 16 Nov 2010
Jingyuan Li
Lingnan University - Department of Finance and Insurance
Downloads 1 (744,969)
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14.

Comparative Ambiguity Aversion in Intertemporal Decisions

Journal of Risk and Insurance, Vol. 87, Issue 1, pp. 195-212, 2020
Number of pages: 18 Posted: 28 May 2020
Jianli Wang and Jingyuan Li
Nanjing University of Aeronautics and Astronautics - College of Economics and Management and Lingnan University - Department of Finance and Insurance
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15.

Precautionary Effort: Another Trait for Prudence

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Citation 1

Precautionary Effort: Another Trait for Prudence

Journal of Risk and Insurance, Vol. 82, Issue 4, pp. 977-983, 2015
Number of pages: 8 Posted: 19 Jan 2016
Jianli Wang and Jingyuan Li
Nanjing University of Aeronautics and Astronautics - College of Economics and Management and Lingnan University - Department of Finance and Insurance
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Citation 1
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Precautionary Effort: Another Trait for Prudence

Posted: 05 Jun 2014
Jianli Wang and Jingyuan Li
Nanjing University of Aeronautics and Astronautics - College of Economics and Management and Lingnan University - Department of Finance and Insurance

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Prudence; Precautionary effort; Background risks

16.

Risk Aversion with Two Risks: A Theoretical Extension and Empirical Applications

Posted: 29 Jul 2013 Last Revised: 20 Jan 2016
Jingyuan Li
Lingnan University - Department of Finance and Insurance

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Risk aversion, Risk apportionment, Background risk, Expectation dependence, Bivariate utility function

17.

When Can Expected Utility Handle First-Order Risk Aversion?

Posted: 09 Jan 2013 Last Revised: 20 Jan 2016
Georges Dionne and Jingyuan Li
HEC Montreal - Department of Finance and Lingnan University - Department of Finance and Insurance

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expected utility theory, first-order conditional dependent risk aversion, background cycles, coward gambler, stock market participation, rank-dependent expected utility model

18.

Decreasing Ross Risk Aversion: Higher-Order Generalizations and Implications

Posted: 14 Sep 2011 Last Revised: 20 Jan 2016
Jianli Wang and Jingyuan Li
Nanjing University of Aeronautics and Astronautics - College of Economics and Management and Lingnan University - Department of Finance and Insurance

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Decreasing n-th Ross risk aversion, n-th risk increase, background Risk, risk

19.

The Impact of Prudence on Optimal Prevention Revisited

Posted: 15 Jul 2010 Last Revised: 20 Jan 2016
Jingyuan Li and Georges Dionne
Lingnan University - Department of Finance and Insurance and HEC Montreal - Department of Finance

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Absolute prudence, Moments of the loss distribution, Self-protection, Variance, Skewness