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浏览/检索结果: 共11条，第1-10条 帮助 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 Stochastic Game Theoretic Formulation for a Multi-Period DC Pension Plan with State-Dependent Risk Aversion 期刊论文 MATHEMATICS, 2019, 卷号: 7 作者:  Wang, Liyuan;  Chen, Zhiping 收藏  |  浏览/下载：7/0  |  提交时间：2019/11/19 DC pension plan  state-dependent risk aversion  stochastic control  mean-variance optimization  extended Bellman equation   Time-Consistent Portfolio Policy for Asset-Liability Mean-Variance Model with State-Dependent Risk Aversion 期刊论文 JOURNAL OF THE OPERATIONS RESEARCH SOCIETY OF CHINA, 2018, 卷号: 6, 期号: 1, 页码: 175-188 作者:  Peng, Liu-Meng;  Cui, Xiang-Yu;  Shi, Yun 收藏  |  浏览/下载：3/0  |  提交时间：2019/08/22 State-dependent risk aversion  Asset-liability mean-variance model  Time-consistent portfolio policy   A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with an uncertain exit time 期刊论文 JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY, 2018, 卷号: 69, 期号: 4, 页码: 487-499 作者:  Cui, Xiangyu;  Li, Xun;  Wu, Xianping;  Yi, Lan 收藏  |  浏览/下载：6/0  |  提交时间：2019/08/22 Mean-field formulation  multi-period portfolio selection  asset-liability management  uncertain exit time   A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with an uncertain exit time 期刊论文 2018, 卷号: 69, 期号: 4, 页码: 487 作者:  Cui, Xiangyu[1];  Li, Xun[2];  Wu, Xianping[3];  Yi, Lan[4] 收藏  |  浏览/下载：7/0  |  提交时间：2019/12/17 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   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   Optimal multi-period mean-variance policy under no-shorting constraint 期刊论文 EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2014, 卷号: 234, 期号: 2, 页码: 459-468 作者:  Cui, Xiangyu;  Gao, Jianjun;  Li, Xun;  Li, Duan 收藏  |  浏览/下载：3/0  |  提交时间：2019/08/22 Multi-period portfolio selection  Multi-period mean-variance formulation  Expected utility maximization  No-shorting