Zhao Li Jiang

The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management

Hong Kong

China

National University of Singapore (NUS) - Risk Management Institute

21 Heng Mui Keng Terrace

Level 4

Singapore, 119613

Singapore

  • The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management

  • National University of Singapore (NUS) - Risk Management Institute

SCHOLARLY PAPERS

5

DOWNLOADS

523

SSRN CITATIONS

1

CROSSREF CITATIONS

4

Scholarly Papers (5)

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1.

Mean-Variance Portfolio Selection with Dynamic Targets for Expected Terminal Wealth

Number of pages: 53 Posted: 12 Dec 2017 Last Revised: 23 Nov 2020
Xue Dong He and Zhao Li Jiang
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management
Downloads 246 (145,337)
Citation 2

Abstract:

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portfolio selection, dynamic mean-variance analysis, time inconsistency, equilibrium policies

2.

On the Equilibrium Strategies for Time-Inconsistent Problems in Continuous Time

Number of pages: 49 Posted: 10 Jan 2019 Last Revised: 18 Sep 2020
Xue Dong He and Zhao Li Jiang
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management
Downloads 154 (222,206)
Citation 2

Abstract:

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stochastic control, time inconsistency, continuous-time setting, equilibrium strategies, portfolio selection

3.

Portfolio Selection under Median and Quantile Maximization

Number of pages: 71 Posted: 20 Aug 2020
Xue Dong He, Zhao Li Jiang and Steven Kou
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management and Boston University
Downloads 64 (398,437)
Citation 1

Abstract:

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quantiles, median, portfolio selection, intra-persional equilibrium, portfolio insurance

4.

Dynamic Mean-Variance Efficient Fractional Kelly Portfolios in a Stochastic Volatility Model

Number of pages: 64 Posted: 20 Aug 2020
Xue Dong He and Zhao Li Jiang
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management
Downloads 51 (443,551)
Citation 1

Abstract:

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fractional Kelly portfolios, dynamic mean-variance analysis, stochastic volatility, time inconsistency, equilibrium strategies

5.

Optimal Payoff under the Generalized Dual Theory of Choice

Number of pages: 13 Posted: 05 Jan 2021
Xue Dong He and Zhao Li Jiang
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management
Downloads 8 (685,320)

Abstract:

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Portfolio Selection, Quantile Approach, Quantile Maximization, Dual Theory of Choice