49 citations · 52 across the 8 of their papers we have counts for
4 papers · 1 filter
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…
Optimal Investment with Stopping in Finite Horizon
Xiongfei Jian, Xun Li, Fahuai Yi
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodolo…
Unified Framework of Mean-Field Formulations for Optimal Multi-period Mean-Variance Portfolio Selection
Xiangyu Cui, Xun Li, Duan Li
The classical dynamic programming-based optimal stochastic control methods fail to cope with nonseparable dynamic optimization problems as the principle of optimality no longer app…
Continuous-time Mean-Variance Portfolio Selection with Stochastic Parameters
Wan-Kai Pang, Yuan-Hua Ni, Xun Li +1
This paper studies a continuous-time market {under stochastic environment} where an agent, having specified an investment horizon and a target terminal mean return, seeks to minimi…