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科研机构
上海财经大学 [8]
上海大学 [2]
数学与系统科学研究院 [1]
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期刊论文 [10]
学术活动 [1]
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2017 [6]
2015 [2]
2014 [2]
2004 [1]
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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 Consistent Behavioral Portfolio Policy for Dynamic Mean-Variance Formulation
学术活动
.Time Consistent Behavioral Portfolio Policy for Dynamic Mean-Variance Formulation
-
收藏
  |  
浏览/下载:4/0
  |  
提交时间:2019/10/31
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
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  |  
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
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