Yun Shi

Shanghai University

SHANGDA ROAD 99

Shanghai, SHANGHAI 200444

China

SCHOLARLY PAPERS

6

DOWNLOADS

423

SSRN CITATIONS

1

CROSSREF CITATIONS

5

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 131 (220,035)
Citation 2

Abstract:

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

2.

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 125 (228,071)
Citation 4

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3.

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 87 (292,551)

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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

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 54 (378,615)

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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.

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 26 (492,202)

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

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 (674,283)
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Abstract:

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