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Asset selection based on high frequency Sharpe ratio 期刊论文
JOURNAL OF ECONOMETRICS, 2022, 卷号: 227, 期号: 1, 页码: 168-188
Authors:  Wang, Christina Dan;  Chen, Zhao;  Lian, Yimin;  Chen, Min
Favorite  |  View/Download:15/0  |  Submit date:2022/04/29
Asset selection  High frequency Sharpe ratio  Ultrahigh dimensional  Serial correlation  Sure screening property  
Equilibrium Investment Strategy for a DC Plan With Partial Information and Mean-Variance Criterion 期刊论文
IEEE SYSTEMS JOURNAL, 2017, 卷号: 11, 期号: 3, 页码: 1492-1504
Authors:  Li, Yongwu;  Wang, Shouyang;  Zeng, Yan;  Qiao, Han
Favorite  |  View/Download:31/0  |  Submit date:2018/07/30
Dynamic equilibrium  dynamic programming  Kalman filters  optimal control  portfolios  
Binary switch portfolio 期刊论文
QUANTITATIVE FINANCE, 2017, 卷号: 17, 期号: 5, 页码: 763-780
Authors:  Li, Tengfei;  Chen, Kani;  Feng, Yang;  Ying, Zhiliang
Favorite  |  View/Download:28/0  |  Submit date:2018/07/30
Aggregating algorithm  Asset return  Bayesian analysis  Portfolio selection  Supervised learning  Universal portfolio  
Multi-period mean variance portfolio selection under incomplete information 期刊论文
APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, 2016, 卷号: 32, 期号: 6, 页码: 753-774
Authors:  Zhang, Ling;  Li, Zhongfei;  Xu, Yunhui;  Li, Yongwu
Favorite  |  View/Download:42/0  |  Submit date:2018/07/30
hidden Markov chain  regime switching  sufficient statistics  portfolio optimization  
Equilibrium Investment Strategy for DC Pension Plan with Inflation and Stochastic Income under Heston's SV Model 期刊论文
MATHEMATICAL PROBLEMS IN ENGINEERING, 2016, 页码: 18
Authors:  Sun, Jingyun;  Li, Zhongfei;  Li, Yongwu
Favorite  |  View/Download:23/0  |  Submit date:2018/07/30
Time-consistent investment strategy under partial information 期刊论文
INSURANCE MATHEMATICS & ECONOMICS, 2015, 卷号: 65, 页码: 187-197
Authors:  Li, Yongwu;  Qiao, Han;  Wang, Shouyang;  Zhang, Ling
Favorite  |  View/Download:27/0  |  Submit date:2018/07/30
Time inconsistency  Mean-variance  Partial information  Equilibrium strategy  Extended HJB system of equations  
RISK AVERSION AND PORTFOLIO SELECTION IN A CONTINUOUS-TIME MODEL 期刊论文
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2011, 卷号: 49, 期号: 5, 页码: 1916-1937
Authors:  Xia, Jianming
Favorite  |  View/Download:44/0  |  Submit date:2018/07/30
risk aversion  portfolio selection  Black-Scholes market model  comparative statics  
Multi-Attribute Portfolio Selection with Genetic Optimization Algorithms 期刊论文
INFOR, 2009, 卷号: 47, 期号: 1, 页码: 23-30
Authors:  Yu, Lean;  Wang, Shouyang;  Lai, Kin Keung
Favorite  |  View/Download:25/0  |  Submit date:2018/07/30
Multi-attribute portfolio selection  asset quality evaluation  asset allocation  mean-variance model  genetic algorithm  
Futures price modeling under exchange rate volatility and its multi-period semi-variance portfolio selection 期刊论文
INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE, 2009, 卷号: 40, 期号: 11, 页码: 1139-1148
Authors:  Yan, Wei;  Li, Shurong
Favorite  |  View/Download:33/0  |  Submit date:2018/07/30
four-factor model  multi-period semi-variance portfolio  exchange rate  futures  hybrid GA with PSO  economic systems  finance  partial differential equations  genetic algorithms  
A class of continuous-time portfolio selection with liability under jump-diffusion processes 期刊论文
INTERNATIONAL JOURNAL OF CONTROL, 2009, 卷号: 82, 期号: 12, 页码: 2277-2283
Authors:  Yan, Wei
Favorite  |  View/Download:34/0  |  Submit date:2018/07/30
portfolio selection  asset-liability management  mean-variance criterion  discontinuous prices  VaR constraint