10 citations · 11 across the 9 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★ 10 cited
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…