10 citations · 11 across the 9 of their papers we have counts for
9 papers
Dynamic Factor Model-Based Multiperiod Mean-Variance Portfolio Selection with Portfolio Constraints
Jianjun Gao, Chengneng Jin, Yun Shi +1
Motivated by practical applications, we explore the constrained multi-period mean-variance portfolio selection problem within a market characterized by a dynamic factor model. This…
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…
A new volatility model: GQARCH-Itô model
Huiling Yuan, Yong Zhou, Lu Xu +2
Volatility asymmetry is a hot topic in high-frequency financial market. In this paper, we propose a new econometric model, which could describe volatility asymmetry based on high-f…
Forecasting security's volatility using low-frequency historical data, high-frequency historical data and option-implied volatility
Huiling Yuan, Yong Zhou, Zhiyuan Zhang +1
Low-frequency historical data, high-frequency historical data and option data are three major sources, which can be used to forecast the underlying security's volatility. In this p…
Volatility Analysis with Realized GARCH-Ito Models
Xinyu Song, Donggyu Kim, Huiling Yuan +4
This paper introduces a unified approach for modeling high-frequency financial data that can accommodate both the continuous-time jump-diffusion and discrete-time realized GARCH mo…
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…
Mean-Variance Policy for Discrete-time Cone Constrained Markets: The Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure
Xiangyu Cui, Duan Li, Xun Li
The discrete-time mean-variance portfolio selection formulation, a representative of general dynamic mean-risk portfolio selection problems, does not satisfy time consistency in ef…
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…