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type_genre:"Article in journal"
type_genre:"Kongressschrift"
~person:"Cui, Xiangyu"
~subject:"Asymmetrische Information"
~subject:"Portfolio-Management"
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Asymmetrische Information
Portfolio-Management
Portfolio selection
14
Theorie
14
Theory
14
Time consistency
6
Zeitkonsistenz
6
Anlageverhalten
3
Behavioural finance
3
Mathematical programming
3
Mathematische Optimierung
3
Cash Flow
2
Cash flow
2
Risikoaversion
2
Risikomaß
2
Risk aversion
2
Risk measure
2
time consistency in efficiency
2
Asset-liability management
1
Beta risk
1
Betafaktor
1
CAPM
1
Capital income
1
Conditional Value-at-Risk
1
Conditional value-at-risk
1
Dynamic mean-variance portfolio selection
1
Dynamic programming
1
Equity premium puzzle
1
Erwartungsnutzen
1
Expected utility
1
Expected utility maximization
1
Experiment
1
Financial Engineering
1
Free cash flow stream
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Investment analysis
1
Jump diffusion market
1
Kapitaleinkommen
1
Management fee
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Mean field approach
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Mean-field formulation
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Mean-risk portfolio choice
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Article in journal
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14
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English
14
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Cui, Xiangyu
Fabozzi, Frank J.
41
Korn, Ralf
29
Escobar, Marcos
26
Li, Duan
26
Wong, Wing Keung
25
Zagst, Rudi
21
Markowitz, Harry
20
Prigent, Jean-Luc
20
Jarrow, Robert A.
18
Yannelis, Nicholas C.
18
Forsyth, Peter A.
17
Gollier, Christian
17
Wang, Ruodu
17
Wong, Hoi Ying
17
Levy, Haim
16
Liu, Hong
16
Martimort, David
16
Post, Thierry
16
Brennan, Michael J.
15
Li, Zhongfei
15
Lioui, Abraham
15
Platen, Eckhard
15
Yao, Haixiang
15
Chen, Zhiping
14
Cvitanić, Jakša
14
Lien, Da-hsiang Donald
14
Rüschendorf, Ludger
14
Vanduffel, Steven
14
Zhou, Guofu
14
Detemple, Jérôme B.
13
Kwon, Roy H.
13
Liang, Zongxia
13
Postlewaite, Andrew
13
Sass, Jörn
13
Siu, Tak Kuen
13
Young, Virginia R.
13
Zeng, Yan
13
Bossaerts, Peter L.
12
Dai, Min
12
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European journal of operational research : EJOR
2
Journal of the Operational Research Society
2
Journal of the Operational Research Society : OR
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
Operations research
2
Journal of economic dynamics & control
1
Mathematical methods of operations research
1
Operational research : an international journal
1
Operations research letters
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ECONIS (ZBW)
14
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1
Time consistent in efficiency dynamic mean-variance policy
Shi, Yun
;
Li, Duan
;
Cui, Xiangyu
- In:
Journal of the Operational Research Society
74
(
2023
)
1
,
pp. 195-208
Persistent link: https://www.econbiz.de/10014231704
Saved in:
2
Beta and coskewness pricing : perspective from probability weighting
Shi, Yun
;
Cui, Xiangyu
;
Zhou, Xun Yu
- In:
Operations research
71
(
2023
)
2
,
pp. 776-790
Persistent link: https://www.econbiz.de/10014308639
Saved in:
3
Multi-period mean-variance portfolio optimization with management fees
Cui, Xiangyu
;
Gao, Jianjun
;
Shi, Yun
- In:
Operational research : an international journal
21
(
2021
)
2
,
pp. 1333-1354
Persistent link: https://www.econbiz.de/10012584207
Saved in:
4
Better than optimal mean-variance portfolio policy in multi-period asset-liability management problem
Cui, Xiangyu
;
Li, Xun
;
Yang, Lanzhi
- In:
Operations research letters
48
(
2020
)
6
,
pp. 693-696
Persistent link: https://www.econbiz.de/10012430065
Saved in:
5
Time-consistent and self-coordination strategies for multi-period mean-Conditional Value-at-Risk portfolio selection
Cui, Xiangyu
;
Gao, Jianjun
;
Shi, Yun
;
Zhu, Shushang
- In:
European journal of operational research : EJOR
276
(
2019
)
2
,
pp. 781-789
Persistent link: https://www.econbiz.de/10012003667
Saved in:
6
Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
Strub, Moris S.
;
Li, Duan
;
Cui, Xiangyu
;
Gao, Jianjun
- In:
Journal of economic dynamics & control
108
(
2019
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012313656
Saved in:
7
A mean-field formulation for multi-period asset–liability mean–variance portfolio selection with an uncertain exit time
Cui, Xiangyu
;
Li, Xun
;
Wu, Xianping
;
Yi, Lan
- In:
Journal of the Operational Research Society
69
(
2018
)
4
,
pp. 487-499
Persistent link: https://www.econbiz.de/10012225172
Saved in:
8
Mean-variance policy for discrete-time cone-constrained markets : time consistency in efficiency and the minimum-variance signed supermartingale measure
Cui, Xiangyu
;
Li, Duan
;
Li, Xun
- In:
Mathematical finance : an international journal of …
27
(
2017
)
2
,
pp. 471-504
Persistent link: https://www.econbiz.de/10011752513
Saved in:
9
Better than pre-committed optimal mean-variance policy in a jump diffusion market
Shi, Yun
;
Li, Xun
;
Cui, Xiangyu
- In:
Mathematical methods of operations research
85
(
2017
)
3
,
pp. 327-347
Persistent link: https://www.econbiz.de/10011714505
Saved in:
10
Time consistent behavioral portfolio policy for dynamic mean-variance formulation
Cui, Xiangyu
;
Li, Xun
;
Li, Duan
;
Shi, Yun
- In:
Journal of the Operational Research Society : OR
68
(
2017
)
12
,
pp. 1647-1660
Persistent link: https://www.econbiz.de/10011816054
Saved in:
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