Xun Li

Hong Kong Polytechnic University

The Hong Kong Polytechnic University

Hung Hom, Kowloon

Hong Kong

SCHOLARLY PAPERS

6

DOWNLOADS

426

SSRN CITATIONS

2

CROSSREF CITATIONS

6

Scholarly Papers (6)

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 (221,674)
Citation 2

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

2.

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 (235,391)
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

3.

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
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 (302,911)
Citation 1

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

4.

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 (380,371)

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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

5.

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 33 (463,591)
Citation 3

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

6.

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 (681,334)
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Abstract:

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