Duan Li

Chinese University of Hong Kong

Emeritus Professor

Shatin, New Territories

Hong Kong

City University of Hong Kong

Tat Chee Avenue

Kowloon Tong

Kowloon

Hong Kong

SCHOLARLY PAPERS

27

DOWNLOADS
Rank 17,392

SSRN RANKINGS

Top 17,392

in Total Papers Downloads

3,138

SSRN CITATIONS
Rank 16,066

SSRN RANKINGS

Top 16,066

in Total Papers Citations

29

CROSSREF CITATIONS

36

Scholarly Papers (27)

1.

Market Timing Strategy in Dynamic Portfolio Selection: A Mean-Variance Formulation

Number of pages: 32 Posted: 06 Mar 2012
Shanghai University of Finance and Economics, Chinese University of Hong Kong, The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences
Downloads 395 (84,074)
Citation 1

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Market timing, Multi-period portfolio selection, Multi-period mean-variance formulation, Time cardinality

2.

Classical Mean Variance Model Revisited: Pseudo Efficiency

Number of pages: 30 Posted: 18 Nov 2009
Jiaan Yan, Xiangyu Cui and Duan Li
Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences, The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management and Chinese University of Hong Kong
Downloads 287 (120,090)
Citation 1

Abstract:

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Mean-variance portfolio selection, binding budget spending, pseudo efficiency, optimal wealth management

3.

Optimal Order Exposure in a Limit Order Market

Number of pages: 58 Posted: 22 Mar 2017
Yuanyuan Chen, Duan Li and Xuefeng Gao
National University of Singapore (NUS) - Risk Management Institute, Chinese University of Hong Kong and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
Downloads 274 (126,093)
Citation 1

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Hidden Order, Order Execution, Limit Order Market, Dynamic Programming

4.

Dynamic Mean-Risk Portfolio Selection with Multiple Risk Measures in Continuous-Time

Number of pages: 36 Posted: 21 Jan 2014 Last Revised: 09 Feb 2014
Jianjun Gao, Yan Xiong and Duan Li
Shanghai University of Finance and Economics, Shanghai Jiao Tong University and Chinese University of Hong Kong
Downloads 240 (144,193)
Citation 1

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Dynamic Portfolio Optimization, Mean-Risk Model, Mean-CVaR, Mean-Variance

5.

Time Cardinality Constrained Mean-Variance Dynamic Portfolio Selection

Number of pages: 30 Posted: 04 Aug 2009
Jianjun Gao, Shouyang Wang and Duan Li
Shanghai University of Finance and Economics, Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences and Chinese University of Hong Kong
Downloads 210 (163,750)
Citation 5

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Cardinality constraint, Dynamic programming, Management fees, Multi-period portfolio selection, Multi-period mean-variance formulation

6.

Optimal Multiperiod Mean-Variance Policy Under No-Shorting Constraint

Number of pages: 29 Posted: 29 Jan 2012
The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management, Shanghai University of Finance and Economics, affiliation not provided to SSRN and Chinese University of Hong Kong
Downloads 186 (183,191)
Citation 11

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7.

Failing to Foresee the Updating of the Reference Point Leads to Time-Inconsistent Investment

Number of pages: 29 Posted: 30 Aug 2017 Last Revised: 04 Apr 2019
Moris Simon Strub and Duan Li
Southern University of Science and Technology - Business School and Chinese University of Hong Kong
Downloads 160 (208,709)
Citation 3

Abstract:

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reference-dependent preferences, time-inconsistency, stochastic control, portfolio selection

8.

An Enhanced Mean-Variance Framework for Robo-Advising Applications

Number of pages: 26 Posted: 06 Nov 2019 Last Revised: 11 May 2020
Southern University of Science and Technology - Business School, Chinese University of Hong Kong and Shanghai University of Finance and Economics - School of Statistics and Management
Downloads 156 (214,415)

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mean-risk portfolio choice; expected utility maximization; risk; potential

9.

Discrete-Time Mean-CVaR Portfolio Selection and Time-Consistency Induced Term Structure of the CVaR

Number of pages: 25 Posted: 22 Sep 2017
Southern University of Science and Technology - Business School, Chinese University of Hong Kong, Shanghai University of Finance and Economics - School of Statistics and Management and Shanghai University of Finance and Economics
Downloads 152 (219,065)
Citation 5

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Mean-Risk Portfolio Choice, Conditional Value-At-Risk, Optimal Investment Strategies, Time-Inconsistency, Time-Consistency Induced Risk Measure, Equity Premium Puzzle

10.

When Prospect Theory Preference Meets Mean-Reverting Asset Returns: A Dynamic Asset Allocation Model

Number of pages: 48 Posted: 30 Apr 2018 Last Revised: 31 Oct 2019
Jianjun Gao, Duan Li and Jing Yao
Shanghai University of Finance and Economics, Chinese University of Hong Kong and School of Economics, Fudan University
Downloads 146 (225,174)
Citation 1

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Prospect Theory, Mean Reversion, Dynamic Asset Allocation, Trading Behavior, Disposition Effect

11.

Time Consistent Behavior Portfolio Policy for Dynamic Mean-Variance Formulation

Number of pages: 20 Posted: 14 Aug 2014
Xiangyu Cui, Xun Li, Duan Li and Yun Shi
Shanghai University of Finance and Economics - School of Statistics and Management, Hong Kong Polytechnic University, Chinese University of Hong Kong and Shanghai University
Downloads 136 (238,357)
Citation 2

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risk aversion, mean-variance formulation, time consistent behavior portfolio policy.

12.

Discrete-Time Behavioral Portfolio Selection Under Prospect Theory

Number of pages: 57 Posted: 15 Aug 2014
Yun Shi, Xiangyu Cui and Duan Li
Shanghai University, Shanghai University of Finance and Economics - School of Statistics and Management and Chinese University of Hong Kong
Downloads 127 (251,265)
Citation 5

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13.

Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection

Accepted by IEEE Transactions on Automatic Control, Forthcoming
Number of pages: 29 Posted: 11 Apr 2014 Last Revised: 19 Apr 2020
Xiangyu Cui, Xun Li and Duan Li
Shanghai University of Finance and Economics - School of Statistics and Management, Hong Kong Polytechnic University and Chinese University of Hong Kong
Downloads 125 (254,336)
Citation 2

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Stochastic optimal control, mean-field formulation, multi-period portfolio selection, multi-period mean-variance formulation, intertemporal restrictions, risk control over bankruptcy

14.

Dynamic Mean-VaR Portfolio Selection in Continuous Time

Number of pages: 27 Posted: 07 Jun 2016
Hunan University - Business School, Shanghai University of Finance and Economics, Chinese University of Hong Kong and Shanghai University of Finance and Economics - School of Statistics and Management
Downloads 123 (257,397)

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Dynamic portfolio selection, Value-at-risk, Quantile Method

15.

Reference Point Formation in Social Networks, Wealth Growth, and Inequality

Number of pages: 39 Posted: 04 Aug 2017 Last Revised: 25 Jun 2019
Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science, Southern University of Science and Technology - Business School, Chinese University of Hong Kong and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences
Downloads 113 (273,777)
Citation 3

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Cumulative Prospect Theory (CPT), Reference Point, Coefficient of Aspiration, Wealth Growth, Wealth Inequality, Gini Coefficient

16.

Time Inconsistency, Self-Control and Internal Harmony: A Planner-Doer Game Framework

Number of pages: 66 Posted: 19 Jun 2014
Xiangyu Cui, Duan Li and Yun Shi
Shanghai University of Finance and Economics - School of Statistics and Management, Chinese University of Hong Kong and Shanghai University
Downloads 92 (314,180)

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time inconsistency, self-control, planner-doer game framework, commitment by punishment, cost of self-control, cognitive resources, dynamic mean-variance model

17.

Margin Calculation of Multi-Leg Option Strategies

Number of pages: 41 Posted: 20 Mar 2017
Yuanyuan Chen and Duan Li
National University of Singapore (NUS) - Risk Management Institute and Chinese University of Hong Kong
Downloads 62 (393,264)

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market risk, option portfolio margin, strategy-based approach, integer programming

18.

A Note on Monotone Mean-Variance Preferences for Continuous Processes

Number of pages: 10 Posted: 26 Jan 2020
Moris Simon Strub and Duan Li
Southern University of Science and Technology - Business School and Chinese University of Hong Kong
Downloads 45 (454,053)

Abstract:

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monotone mean-variance, mean-variance, portfolio selection, continuous processes

19.

Revisiting the Efficiency of Competitive Markets: The Incentive to Social Communication

Number of pages: 32 Posted: 28 Dec 2017
Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science, Chinese University of Hong Kong and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences
Downloads 40 (475,204)

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Efficiency, social communication, incentive, social welfare, individual welfare

20.

Mean-Variance Policy for Discrete-Time Cone Constrained Markets: Time Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure

Number of pages: 37 Posted: 18 Mar 2014 Last Revised: 19 Apr 2020
Xiangyu Cui, Duan Li and Xun Li
Shanghai University of Finance and Economics - School of Statistics and Management, Chinese University of Hong Kong and Hong Kong Polytechnic University
Downloads 34 (502,784)
Citation 5

Abstract:

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cone constrained market, discrete-time mean-variance policy, time consistency in efficiency, minimum-variance signed supermartingale measure

21.

Resolving Time Inconsistency in Financial Decision Problems With Non-Expectation Operator: From Internal Conflict to Internal Harmony by Strategy of Self-Coordination

Number of pages: 35 Posted: 10 Mar 2018
Xiangyu Cui, Duan Li and Yun Shi
Shanghai University of Finance and Economics - School of Statistics and Management, Chinese University of Hong Kong and Shanghai University
Downloads 32 (512,779)

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Time Inconsistency; Dual-Self Game Model; Commitment by Punishment; Strategy of Self-Coordination

22.

Better than Dynamic Mean‐Variance: Time Inconsistency and Free Cash Flow Stream

Mathematical Finance, Vol. 22, Issue 2, pp. 346-378, 2012
Number of pages: 33 Posted: 11 Feb 2012
The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management, Chinese University of Hong Kong, Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences and Sun Yat-Sen University (SYSU)
Downloads 2 (715,174)
Citation 6
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portfolio selection, mean‐variance, time consistency, free cash flow stream

23.

Mean‐Variance Policy for Discrete‐Time Cone‐Constrained Markets: Time Consistency in Efficiency and the Minimum‐Variance Signed Supermartingale Measure

Mathematical Finance, Vol. 27, Issue 2, pp. 471-504, 2017
Number of pages: 34 Posted: 28 May 2020
Xiangyu Cui, Duan Li and Xun Li
Shanghai University of Finance and Economics - School of Statistics and Management, Chinese University of Hong Kong and Hong Kong Polytechnic University
Downloads 1 (727,479)
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cone‐constrained market, discrete‐time mean‐variance policy, time consistency in efficiency, minimum‐variance signed supermartingale measure

24.

A Robust Set-Valued Scenario Approach for Handling Modeling Risk in Portfolio Optimization

Journal of Computational Finance, Vol. 19, No. 1, Pages 11–40, 2015
Number of pages: 30 Posted: 15 Jun 2016
Shushang Zhu, Xiaodong Ji and Duan Li
Sun Yat-Sen University (SYSU), Hebei Normal University and Chinese University of Hong Kong
Downloads 0 (745,513)
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Portfolio Optimization, Downside Risk, Set-Valued Scenario, Modeling Risk, Investment Style

25.

Bounded Rationality as a Source of Loss Aversion and Optimism: A Study of Psychological Adaptation Under Incomplete Information

Journal of Economic Dynamics and Control, Vol. 37, No. 1, 2013
Posted: 09 Jul 2010 Last Revised: 16 May 2013
Jing Yao and Duan Li
School of Economics, Fudan University and Chinese University of Hong Kong

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Loss aversion, optimism, bounded rationality, incomplete information, adaptedness, dynamic portfolio choice

26.

Prospect Theory and Trading Patterns

Journal of Banking and Finance, Vol. 37, No. 8, 2013
Posted: 26 Jun 2010 Last Revised: 16 May 2013
Jing Yao and Duan Li
School of Economics, Fudan University and Chinese University of Hong Kong

Abstract:

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prospect theory, negative-feedback trading, price elasticity of demand, contrarian behavior, the disposition effect, noise trading

27.

Better than Dynamic Mean-Variance: Time Inconsistency and Free Cash Flow Stream

Mathematical Finance
Posted: 06 Aug 2009 Last Revised: 15 Jan 2011
Duan Li
Chinese University of Hong Kong

Abstract:

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portfolio selection, mean-variance, time consistency, free cash flow stream