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Change-point detection for expected shortfall in time series

Sun, Lingyu; Li, Dong - In: Journal of management science and engineering 6 (2021) 3, pp. 324-335

Expected shortfall (ES) is a popular risk measure and plays an important role in risk and portfolio management. Recently, change-point detection of risk measures has been attracting much attention in finance. Based on the self-normalized CUSUM statistic in Fan, Glynn and Pelger (2018) and the...

Persistent link: https://www.econbiz.de/10013206368

International comparison of household asset allocation : micro-evidence from cross-country comparisons

Lu, Xiaomeng; Guo, Jiaojiao; Gan, Li - In: Emerging markets review 43 (2020), pp. 1-26

Persistent link: https://www.econbiz.de/10012414527

Bequest motive, household portfolio choice, and wealth inequality in urban China

Yang, Xintong; Gan, Li - In: China economic review : an international journal 60 (2020), pp. 1-23

Persistent link: https://www.econbiz.de/10012604606

Portfolio climate risk and fund flow performance

Li, Dong; Lu, Shuai - In: Finance research letters 72 (2025), pp. 1-11

Persistent link: https://www.econbiz.de/10015199866

Optimal investment and consumption strategies for pooled annuity with partial information

Xie, Lin; Lv, Chen; Qian, Linyi; Li, Danping; Yang, Zhixin - In: Insurance / Mathematics & economics 108 (2023), pp. 129-155

Persistent link: https://www.econbiz.de/10013534515

A portfolio selection model using fuzzy returns

Li, Duan; Stahlecker, Peter - In: Fuzzy optimization and decision making : a journal of … 10 (2011) 2, pp. 167-191

Persistent link: https://www.econbiz.de/10009240941

New reformulations for probabilistically constrained quadratic programs

Hsia, Yong; Wu, Baiyi; Li, Duan - In: European journal of operational research : EJOR 233 (2014) 3, pp. 550-556

Persistent link: https://www.econbiz.de/10010228240

Prospect theory and trading patterns

Yao, Jing; Li, Duan - In: Journal of banking & finance 37 (2013) 8, pp. 2793-2805

Persistent link: https://www.econbiz.de/10009776367

Nonlinear portfolio selection using approximate parametric Value-at-RiskOriginal

Cui, Xueting; Zhu, Shushang; Sun, Xiaoling; Li, Duan - In: Journal of banking & finance 37 (2013) 6, pp. 2124-2139

Persistent link: https://www.econbiz.de/10009742471

Bounded rationality as a source of loss aversion and optimism : a study of psychological adaption under incomplete information

Yao, Jing; Li, Duan - In: Journal of economic dynamics & control 37 (2013) 1, pp. 18-31

Persistent link: https://www.econbiz.de/10009703615