Information about the author Xiangyu Cui will soon be added to the site.
Better than pre-committed optimal mean-variance policy in a jump diffusion market
Dynamic mean‐variance investment model can not be solved by dynamic programming...
Dynamic Trading with Reference Point Adaptation and Loss Aversion
We formalize the reference point adaptation process by relating it to a way people...
Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion
In this paper, a continuous time mean‐variance portfolio optimization problem...
Classical mean-variance model revisited: pseudo efficiency
Investigating the inverse problem of the classical Markowitz mean‐variance...
Time Consistency Issue in Multi-Objective Optimization
When the conditions for applying Bellman's principle of optimality hold, the...
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