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Household life-cycle asset allocation and background risk of labor income

Cai, Mingchao; Zhao, Jun; Pan, Rulu; Huang, Haozhi - In: China finance review international 3 (2013) 2, pp. 117-130

Persistent link: https://www.econbiz.de/10009777673

A study of the diversification of China's foreign reserves within a three-country stock-flow consistent model

Lavoie, Marc; Zhao, Jun - In: Metroeconomica : international review of economics 61 (2010) 3, pp. 558-592

Persistent link: https://www.econbiz.de/10008825600

Optimal consumption and life insurance under shortfall aversion and a drawdown constraint

Li, Xun; Yu, Xiang; Zhang, Qinyi - In: Insurance / Mathematics & economics 108 (2023), pp. 25-45

Persistent link: https://www.econbiz.de/10013534508

Dynamic mean-variance portfolio selection with borrowing constraint

Fu, Chenpeng; Lari-Lavassani, Ali; Li, Xun - In: European journal of operational research : EJOR 200 (2009/10) 1, pp. 312-319

Persistent link: https://www.econbiz.de/10003895181

Optimal muli-period mean-variance policy under no-shorting constraint

Cui, Xiangyu; Gao, Jianjun; Li, Xun; Li, Duan - In: European journal of operational research : EJOR 234 (2014) 2, pp. 459-468

Persistent link: https://www.econbiz.de/10010356724

Continuous-time mean-variance portfolio selection with partial information

Pang, Wan-Kai; Ni, Yuan-Hua; Li, Xun; Yiu, Ka-Fai Cedric - In: Journal of mathematical finance 4 (2014) 5, pp. 353-365

Persistent link: https://www.econbiz.de/10011312406

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

Optimal stopping investment in a logarithmic utility-based portfolio selection problem

Li, Xun; Wu, Xianping; Zhou, Wenxin - In: Financial innovation : FIN 3 (2017) 28, pp. 1-10

Background: In this paper, we study the right time for an investor to stop the investment over a given investment horizon so as to obtain as close to the highest possible wealth as possible, according to a Logarithmic utility-maximization objective involving the portfolio in the drift and...

Persistent link: https://www.econbiz.de/10011772237

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

Continuous-time Markowitz's model with constraints on wealth and portfolio

Li, Xun; Xu, Zuo Quan - In: Operations research letters 44 (2016) 6, pp. 729-736

Persistent link: https://www.econbiz.de/10011622222