49 citations · 52 across the 8 of their papers we have counts for
10 papers
Mean-variance portfolio selection: connections between mean-field systems and forward-backward stochastic systems under initial-terminal cost coupling
Xun Li, Hongyu Shi, Zhen Wu
This paper investigates the connection between mean-field systems and forward-backward stochastic systems arising from the mean-variance portfolio selection problem. By introducing…
Dynamic mean-variance portfolio selection with no-shorting constraints and unknown investment opportunity sets
Xun Li, Yutian Wang, Xun Yu Zhou
We study continuous-time mean-variance portfolio selection with no-shorting constraints and unknown investment opportunity sets from a reinforcement learning (RL) perspective. The…
Optimal consumption with loss aversion and reference to past spending maximum
Xun Li, Xiang Yu, Qinyi Zhang
This paper studies an optimal consumption problem for a loss-averse agent with reference to past consumption maximum. To account for loss aversion on relative consumption, an S-sha…
Optimal Consumption with Reference to Past Spending Maximum
Shuoqing Deng, Xun Li, Huyen Pham +1
This paper studies the infinite-horizon optimal consumption with a path-dependent reference under exponential utility. The performance is measured by the difference between the non…
Optimal Investment Stopping Problem with Nonsmooth Utility in Finite Horizon
Chonghu Guan, Xun Li, Zuoquan Xu +1
In this paper, we investigate an interesting and important stopping problem mixed with stochastic controls and a \textit{nonsmooth} utility over a finite time horizon. The paper ai…
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…