Jiang Ye

Vrije Universiteit Brussel (VUB)

Pleinlaan 2

http://www.vub.ac.be/

Brussels, 1050

Belgium

  • Vrije Universiteit Brussel (VUB)

SCHOLARLY PAPERS

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Scholarly Papers (2)

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1.

Optimal Strategies Under Omega Ratio

Working paper
Number of pages: 30 Posted: 05 Apr 2017 Last Revised: 01 Apr 2018
Carole Bernard, Steven Vanduffel and Jiang Ye
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 175 (170,510)
Citation 1

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Portfolio choice, Omega ratio, ill-posedness

2.

Optimal Portfolio Under State-Dependent Expected Utility

Number of pages: 19 Posted: 14 Mar 2018
Carole Bernard, Steven Vanduffel and Jiang Ye
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 41 (418,414)

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Optimal Portfolio Choice, State-Dependent Utility, Cost-Efficiency, Portfolio Theory, Expected Utility Theory, Loss Aversion, Prospect Theory