Xiangyu Cui

Shanghai University of Finance and Economics - School of Statistics and Management

777 Guoding Road

Shanghai, Shanghai 200433

China

SCHOLARLY PAPERS

12

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SSRN CITATIONS
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SSRN RANKINGS

Top 43,420

in Total Papers Citations

4

CROSSREF CITATIONS

8

Scholarly Papers (12)

1.

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 132 (221,923)
Citation 2

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

2.

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 131 (223,237)
Citation 1

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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

3.

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 126 (229,970)
Citation 4

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4.

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: 18 Jun 2014
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 122 (235,662)
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

5.

Dynamic Mean-VaR Portfolio Selection in Continuous Time

Number of pages: 27 Posted: 07 Jun 2016
Ke Zhou, Jianjun Gao, Duan Li and Xiangyu Cui
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 120 (238,498)

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

6.

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 88 (294,593)

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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

7.

A Mean-Field Formulation for Optimal Multi-Period Asset-Liability Mean-Variance Portfolio Selection with an Uncertain Exit Time

Number of pages: 21 Posted: 26 Oct 2015
Xiangyu Cui, Xun Li, Xianping Wu and Lan Yi
Shanghai University of Finance and Economics - School of Statistics and Management, Hong Kong Polytechnic University, Hong Kong Polytechnic University and Jinan University - Management School
Downloads 84 (303,196)
Citation 1

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mean-field formulation, multi-period portfolio selection, asset-liability management, uncertain exit time

8.

An Enhanced Mean-Variance Framework for Robo-Advising Applications

Number of pages: 24 Posted: 06 Nov 2019
Moris Simon Strub, Duan Li and Xiangyu Cui
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 77 (319,320)

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robo-advising, portfolio choice, decision support, mean-variance optimization, expected utility maximization

9.

Better Than Pre-Committed Optimal Mean-Variance Policy in a Jump Diffusion Market

Number of pages: 20 Posted: 15 Aug 2014
Xiangyu Cui, Yun Shi and Xun Li
Shanghai University of Finance and Economics - School of Statistics and Management, Shanghai University and Hong Kong Polytechnic University
Downloads 55 (380,750)

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mean field approach, pre-committed optimal mean-variance policy, jump diffusion market, time consistency in efficiency, semi-self-financing revised policy

10.

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: 18 Jun 2014
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 (459,590)
Citation 3

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

11.

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 28 (488,563)

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

12.

Time Consistent Behavioral Portfolio Policy for Dynamic Mean–Variance Formulation

Journal of the Operational Research Society, Vol. 68, Issue 12, 2017
Number of pages: 14 Posted: 24 Apr 2018
Xiangyu Cui, Xun Li, Duan Li and Yun Shi
Shanghai University of Finance and Economics - School of Statistics and Management, Hong Kong Polytechnic University, The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management and Shanghai University
Downloads 0 (681,921)
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Abstract:

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investment analysis, state-dependent risk aversion, dynamic mean–variance formulation, time consistency, behavioral portfolio policy