49 citations · 83 across the 11 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★ 6 cited
Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-time
Jianjun Gao, Ke Zhou, Duan Li +1
Instead of controlling "symmetric" risks measured by central moments of investment return or terminal wealth, more and more portfolio models have shifted their focus to manage "asy…