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浏览/检索结果: 共10条，第1-10条 帮助 限定条件 内容类型：期刊论文     已选(0)清除 条数/页：5101520253035404550556065707580859095100   排序方式：请选择作者升序作者降序题名升序题名降序发表日期升序发表日期降序提交时间升序提交时间降序 Time consistent behavioral portfolio policy for dynamic mean-variance formulation 期刊论文 JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY, 2017, 卷号: 68, 期号: 12, 页码: 1647-1660 作者:  Cui, Xiangyu;  Li, Xun;  Li, Duan;  Shi, Yun 收藏  |  浏览/下载：9/0  |  提交时间：2019/08/22 investment analysis  state-dependent risk aversion  dynamic mean-variance formulation  time consistency  behavioral portfolio policy   Better than pre-committed optimal mean-variance policy in a jump diffusion market 期刊论文 MATHEMATICAL METHODS OF OPERATIONS RESEARCH, 2017, 卷号: 85, 期号: 3, 页码: 327-347 作者:  Shi, Yun;  Li, Xun;  Cui, Xiangyu 收藏  |  浏览/下载：17/0  |  提交时间：2019/08/22 Mean field approach  Pre-committed optimal mean-variance policy  Jump diffusion market  Time consistency in efficiency  Semi-self-financing revised policy   MEAN-VARIANCE POLICY FOR DISCRETE-TIME CONE-CONSTRAINED MARKETS: TIME CONSISTENCY IN EFFICIENCY AND THE MINIMUM-VARIANCE SIGNED SUPERMARTINGALE MEASURE 期刊论文 MATHEMATICAL FINANCE, 2017, 卷号: 27, 期号: 2, 页码: 471-504 作者:  Cui, Xiangyu;  Li, Duan;  Li, Xun 收藏  |  浏览/下载：3/0  |  提交时间：2019/08/22 cone-constrained market  discrete-time mean-variance policy  time consistency in efficiency  minimum-variance signed supermartingale measure   Self-coordination in time inconsistent stochastic decision problems: A planner-doer game framework 期刊论文 JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2017, 卷号: 75, 页码: 91-113 作者:  Cui, Xiangyu;  Li, Duan;  Shi, Yun 收藏  |  浏览/下载：31/0  |  提交时间：2019/08/22 Time inconsistency  Self-coordination  Two-tier planner-doer game framework  Commitment by punishment  Cost of self-coordination  Dynamic mean-variance formulation   Time consistent behavioral portfolio policy for dynamic mean-variance formulation 期刊论文 JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY, 2017, 卷号: 68, 页码: 1647-1660 作者:  Cui, Xiangyu[1];  Li, Xun[2];  Li, Duan[3];  Shi, Yun[4] 收藏  |  浏览/下载：8/0  |  提交时间：2019/04/24 investment analysis  state-dependent risk aversion  dynamic mean-variance formulation  time consistency  behavioral portfolio policy   Self-coordination in time inconsistent stochastic decision problems: A planner-doer game framework 期刊论文 JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2017, 卷号: 75, 页码: 91-113 作者:  Cui, Xiangyu[1];  Li, Duan[2];  Shi, Yun[3] 收藏  |  浏览/下载：34/0  |  提交时间：2019/04/24 Time inconsistency  Self-coordination  Two-tier planner-doer game framework  Commitment by punishment  Cost of self-coordination  Dynamic mean-variance formulation   Time cardinality constrained mean-variance dynamic portfolio selection and market timing: A stochastic control approach 期刊论文 AUTOMATICA, 2015, 卷号: 54, 页码: 91-99 作者:  Gao, Jianjun;  Li, Duan;  Cui, Xiangyu;  Wang, Shouyang 收藏  |  浏览/下载：6/0  |  提交时间：2019/08/22 Multi-period portfolio selection  Multi-period mean-variance formulation  Stochastic control  Cardinality constraint  Market timing   A mean-field formulation for optimal multi-period mean-variance portfolio selection with an uncertain exit time 期刊论文 OPERATIONS RESEARCH LETTERS, 2014, 卷号: 42, 期号: 8, 页码: 489-494 作者:  Yi, Lan;  Wu, Xianping;  Li, Xun;  Cui, Xiangyu 收藏  |  浏览/下载：2/0  |  提交时间：2019/08/22 Mean-field formulation  Multi-period portfolio selection  Multi-period mean-variance formulation  Uncertain exit time   Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection 期刊论文 IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2014, 卷号: 59, 期号: 7, 页码: 1833-1844 作者:  Cui, Xiangyu;  Li, Xun;  Li, Duan 收藏  |  浏览/下载：7/0  |  提交时间：2019/08/22 Stochastic optimal control  mean-field formulation  multi-period mean-variance (MV) portfolio selection  intertemporal restrictions  risk control over bankruptcy   Risk control over bankruptcy in dynamic portfolio selection: A generalized mean-variance formulation 期刊论文 IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2004, 卷号: 49, 期号: 3, 页码: 447-457 作者:  Zhu, SS;  Li, D;  Wang, SY 收藏  |  浏览/下载：13/0  |  提交时间：2018/07/30 dynamic portfolio selection  dynamic programming  mean-variance formulation  stochastic control