Duan Li

City University of Hong Kong

Tat Chee Avenue

Kowloon Tong

Kowloon

Hong Kong

Chinese University of Hong Kong

Emeritus Professor

Shatin, New Territories

Hong Kong

SCHOLARLY PAPERS

23

DOWNLOADS
Rank 22,395

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Top 22,395

in Total Papers Downloads

4,333

SSRN CITATIONS
Rank 19,271

SSRN RANKINGS

Top 19,271

in Total Papers Citations

57

CROSSREF CITATIONS

14

Scholarly Papers (23)

1.

Risk and Potential: An Asset Allocation Framework with Applications to Robo-Advising

Number of pages: 32 Posted: 06 Nov 2019 Last Revised: 22 Feb 2021
Xiangyu Cui, Duan Li, Duan Li, Xiao Qiao and Moris Simon Strub
Shanghai University of Finance and Economics - School of Statistics and Management, Chinese University of Hong KongCity University of Hong Kong, City University of Hong Kong (CityU) and University of Warwick - Warwick Business School
Downloads 522 (102,021)

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mean-risk optimization; mean-variance; expected utility maximization; portfolio choice; risk; potential; asset allocation; robo-advising; FinTech

2.

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

Number of pages: 32 Posted: 06 Mar 2012
Jianjun Gao, Duan Li, Duan Li, Xiangyu Cui and Shouyang Wang
Shanghai Jiao Tong University, Chinese University of Hong KongCity 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 467 (116,645)
Citation 1

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

3.

Optimal Order Exposure in a Limit Order Market

Number of pages: 58 Posted: 22 Mar 2017
Yuanyuan Chen, Duan Li, Duan Li and Xuefeng Gao
National University of Singapore (NUS) - Risk Management Institute, Chinese University of Hong KongCity University of Hong Kong and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
Downloads 347 (163,488)
Citation 1

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

4.

Classical Mean Variance Model Revisited: Pseudo Efficiency

Number of pages: 30 Posted: 18 Nov 2009
Jiaan Yan, Xiangyu Cui, Duan Li 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 KongCity University of Hong Kong
Downloads 319 (178,836)
Citation 1

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

5.

When Prospect Theory Meets Mean-Reverting Asset Returns: A Behavioral Dynamic Trading Model

Number of pages: 36 Posted: 30 Apr 2018 Last Revised: 17 Apr 2023
Jianjun Gao, Duan Li, Duan Li, Jinyan Xie, Yiwen Yang and Jing Yao
Shanghai Jiao Tong University, Chinese University of Hong KongCity University of Hong Kong, Shanghai University of Finance and Economics, Fudan University and School of Economics, Fudan University
Downloads 279 (205,574)
Citation 5

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

6.

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, Duan Li and Duan Li
Shanghai Jiao Tong University, Shanghai Jiao Tong University and Chinese University of Hong KongCity University of Hong Kong
Downloads 269 (213,405)
Citation 3

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

7.

Optimal Multiperiod Mean-Variance Policy Under No-Shorting Constraint

Number of pages: 29 Posted: 29 Jan 2012
Xiangyu Cui, Jianjun Gao, Xun Li, Duan Li and Duan Li
The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management, Shanghai Jiao Tong University, affiliation not provided to SSRN and Chinese University of Hong KongCity University of Hong Kong
Downloads 239 (239,840)
Citation 12

Abstract:

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8.

Time Cardinality Constrained Mean-Variance Dynamic Portfolio Selection

Number of pages: 30 Posted: 04 Aug 2009
Jianjun Gao, Shouyang Wang, Duan Li and Duan Li
Shanghai Jiao Tong University, Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences and Chinese University of Hong KongCity University of Hong Kong
Downloads 238 (240,883)
Citation 9

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

9.

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, Duan Li and Duan Li
University of Warwick - Warwick Business School and Chinese University of Hong KongCity University of Hong Kong
Downloads 208 (273,389)
Citation 3

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

10.

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

Number of pages: 25 Posted: 22 Sep 2017
Moris Simon Strub, Duan Li, Duan Li, Xiangyu Cui and Jianjun Gao
University of Warwick - Warwick Business School, Chinese University of Hong KongCity University of Hong Kong, Shanghai University of Finance and Economics - School of Statistics and Management and Shanghai Jiao Tong University
Downloads 202 (280,828)
Citation 7

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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

11.

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 (AMSS), University of Warwick - Warwick Business School, Chinese University of Hong KongCity University of Hong Kong and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences
Downloads 161 (343,072)
Citation 3

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

12.

Time Consistent Behavior Portfolio Policy for Dynamic Mean-Variance Formulation

Number of pages: 20 Posted: 14 Aug 2014
Xiangyu Cui, Xun Li, Duan 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 KongCity University of Hong Kong and Shanghai University
Downloads 160 (344,801)
Citation 2

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

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, Duan Li and Duan Li
Shanghai University of Finance and Economics - School of Statistics and Management, Hong Kong Polytechnic University and Chinese University of Hong KongCity University of Hong Kong
Downloads 157 (350,349)
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.

Discrete-Time Behavioral Portfolio Selection Under Prospect Theory

Number of pages: 57 Posted: 15 Aug 2014
Yun Shi, Xiangyu Cui, Duan Li and Duan Li
Shanghai University, Shanghai University of Finance and Economics - School of Statistics and Management and Chinese University of Hong KongCity University of Hong Kong
Downloads 154 (356,146)
Citation 5

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15.

Dynamic Mean-VaR Portfolio Selection in Continuous Time

Number of pages: 27 Posted: 07 Jun 2016
Ke Zhou, Jianjun Gao, Duan Li, Duan Li and Xiangyu Cui
Hunan University - Business School, Shanghai Jiao Tong University, Chinese University of Hong KongCity University of Hong Kong and Shanghai University of Finance and Economics - School of Statistics and Management
Downloads 151 (361,774)
Citation 2

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

16.

Margin Calculation of Multi-Leg Option Strategies

Number of pages: 41 Posted: 20 Mar 2017
Yuanyuan Chen, Duan Li and Duan Li
National University of Singapore (NUS) - Risk Management Institute and Chinese University of Hong KongCity University of Hong Kong
Downloads 150 (363,739)

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

17.

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

Number of pages: 66 Posted: 19 Jun 2014
Xiangyu Cui, Duan Li, Duan Li and Yun Shi
Shanghai University of Finance and Economics - School of Statistics and Management, Chinese University of Hong KongCity University of Hong Kong and Shanghai University
Downloads 111 (458,442)

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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

18.

A Note on Monotone Mean-Variance Preferences for Continuous Processes

Number of pages: 10 Posted: 26 Jan 2020
Moris Simon Strub, Duan Li and Duan Li
University of Warwick - Warwick Business School and Chinese University of Hong KongCity University of Hong Kong
Downloads 81 (563,360)
Citation 4

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

19.

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, Duan Li and Xun Li
Shanghai University of Finance and Economics - School of Statistics and Management, Chinese University of Hong KongCity University of Hong Kong and Hong Kong Polytechnic University
Downloads 60 (661,917)
Citation 6

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

20.

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, Duan Li and Yun Shi
Shanghai University of Finance and Economics - School of Statistics and Management, Chinese University of Hong KongCity University of Hong Kong and Shanghai University
Downloads 58 (672,866)

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

21.

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, Duan Li and Duan Li
School of Economics, Fudan University and Chinese University of Hong KongCity University of Hong Kong

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

22.

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, Duan Li and Duan Li
School of Economics, Fudan University and Chinese University of Hong KongCity University of Hong Kong

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

23.

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 and Duan Li
Chinese University of Hong KongCity University of Hong Kong

Abstract:

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