1 citations · 2 across the 6 of their papers we have counts for
6 papers
Discrete-Time Mean-Variance Strategy Based on Reinforcement Learning
Xiangyu Cui, Xun Li, Yun Shi +1
This paper studies a discrete-time mean-variance model based on reinforcement learning. Compared with its continuous-time counterpart in \cite{zhou2020mv}, the discrete-time model…
Decision Making under Cumulative Prospect Theory: An Alternating Direction Method of Multipliers
Xiangyu Cui, Rujun Jiang, Yun Shi +2
This paper proposes a novel numerical method for solving the problem of decision making under cumulative prospect theory (CPT), where the goal is to maximize utility subject to pra…
Equilibrium Oil Market Share under the COVID-19 Pandemic
Xiaojun Chen, Yun Shi, Xiaozhou Wang
Equilibrium models for energy markets under uncertain demand and supply have attracted considerable attentions. This paper focuses on modelling crude oil market share under the COV…
Regularized two-stage stochastic variational inequalities for Cournot-Nash equilibrium under uncertainty
Jie Jiang, Yun Shi, Xiaozhou Wang +1
A convex two-stage non-cooperative multi-agent game under uncertainty is formulated as a two-stage stochastic variational inequality (SVI). Under standard assumptions, we provide s…
Explicit Solution for Constrained Stochastic Linear-Quadratic Control with Multiplicative Noise
Weipin Wu, Jianjun Gao, Duan Li +1
We study in this paper a class of constrained linear-quadratic (LQ) optimal control problem formulations for the scalar-state stochastic system with multiplicative noise, which has…
Time Consistent Behavior Portfolio Policy for Dynamic Mean-Variance Formulation
Xiangyu Cui, Xun Li, Duan Li +1
When we implement a portfolio selection methodology under a mean-risk formulation, it is essential to correctly model investors' risk aversion which may be time-dependent, or even…