Jinyan Xie

Shanghai University of Finance and Economics

NO. 777 Guoding Road

Shanghai, 200433

China

SCHOLARLY PAPERS

3

DOWNLOADS

341

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

When Prospect Theory Meets Mean-Reverting Asset Returns: A Behavioral Dynamic Trading Model

Number of pages: 36 Posted: 30 Apr 2018 Last Revised: 17 Apr 2023
Shanghai Jiao Tong University, Chinese University of Hong KongCity University of Hong Kong, Shanghai University of Finance and Economics, Fudan University and School of Economics, Fudan University
Downloads 278 (206,235)
Citation 5

Abstract:

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Prospect Theory, Mean Reversion, Dynamic Asset Allocation, Trading Behavior, Disposition Effect

2.

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
Jianjun Gao, Li Yaoming, Yun Shi and Jinyan Xie
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 (780,575)

Abstract:

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

3.

Responsible Investing: A Multi-period Portfolio Selection Model

Number of pages: 37 Posted: 01 May 2024
Chengneng Jin, Weiping Wu and Jinyan Xie
Shanghai University of Finance and Economics - School of Information Management and Engineering, Fuzhou University - School of Economics and Management and Shanghai University of Finance and Economics
Downloads 22 (942,294)

Abstract:

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Mean-Variance Portfolio Selection, Dynamic Portfolio Optimization, Progressive Hedging Algorithm, ESG, Conditional Value-at-Risk