49 citations · 52 across the 8 of their papers we have counts for
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q-fin.PM2014
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…
q-fin.PM2014
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…