Yun Shi

East China Normal University (ECNU)

Prof.

North Zhongshan Road Campus

3663 N. Zhongshan Rd.

Shanghai, 200062

China

SCHOLARLY PAPERS

5

DOWNLOADS

294

SSRN CITATIONS

3

CROSSREF CITATIONS

0

Scholarly Papers (5)

1.

Beta and Coskewness Pricing: Perspective from Probability Weighting

Number of pages: 58 Posted: 12 May 2020 Last Revised: 03 Jun 2020
Yun Shi, Xiangyu Cui and Xun Yu Zhou
East China Normal University (ECNU), Shanghai University of Finance and Economics - School of Statistics and Management and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 106 (473,516)
Citation 3

Abstract:

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Probability weighting, Beta, Coskewness, Asset Pricing

2.

Timing Idiosyncratic Volatility and Dynamic Asset Allocation

Number of pages: 56 Posted: 12 May 2020 Last Revised: 09 Jun 2020
Yun Shi
East China Normal University (ECNU)
Downloads 75 (588,537)

Abstract:

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Idiosyncratic volatility, dynamic asset allocation, transaction cost, return predictability, volatility timing

3.

Optimal attention allocation: Picking alpha or betting on beta?

Number of pages: 57 Posted: 20 Dec 2023
East China Normal University (ECNU), East China Normal University (ECNU), East China Normal University (ECNU) and East China Normal University (ECNU)
Downloads 52 (707,048)

Abstract:

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Attention Allocation, Portfolio Selection, Bayesian Learning, Return Predictability, Reinforcement Learning

4.

Multiperiod Portfolio Choice Under Loss Aversion with Dynamic Reference Point in Serially Correlated Market

Number of pages: 38 Posted: 12 Mar 2023 Last Revised: 05 Jun 2024
Shanghai Jiao Tong University, Shanghai University of Finance and Economics - School of Information Management and Engineering, East China Normal University (ECNU) and Shanghai University of Finance and Economics
Downloads 41 (780,396)

Abstract:

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Multiperiod portfolio choice, Loss aversion, Serial correlated returns, Dynamic reference point updating, Disposition effect

5.

Machine Readability, Market Efficiency, and Real Effects

Number of pages: 49 Posted: 05 Apr 2024
Wei Li, Yun Shi and Shijie Zeng
University of International Business and Economics, East China Normal University (ECNU) and Bank of Shanghai
Downloads 20 (962,299)

Abstract:

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Machine Readability, PEAD, Market Efficiency, Real Efficiency