2 papers
q-fin.MF2025
Partial Information in a Mean-Variance Portfolio Selection Game
Yu-Jui Huang, Li-Hsien Sun
This paper considers finitely many investors who perform mean-variance portfolio selection under relative performance criteria. That is, each investor is concerned about not only h…
stat.ME2024
Detecting Structural Shifts and Estimating Change-Points in Interval-Based Time Series
Li-Hsien Sun, Zong-Yuan Huang, Chi-Yang Chiu +1
This paper addresses the open problem of conducting change-point analysis for interval-valued time series data using the maximum likelihood estimation (MLE) framework. Motivated by…