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REIT crash risk and institutional investors

An, Heng; Wu, Qun; Wu, Zhonghua - In: The journal of real estate finance and economics 53 (2016) 4, pp. 527-558

Persistent link: https://www.econbiz.de/10011717582

REIT Crash Risk and Institutional Investors

An, Heng - 2016

This paper examines the relationship between the stock crash risk of REITs and different types of institutional investors. First, when we classify REIT institutional investors by their legal type, we find that the ownership of pension funds (bank trusts) is negatively (positively) related to...

Persistent link: https://www.econbiz.de/10012981822

An integrated multi-criteria decision-making and multi-objective optimization model for socially responsible portfolio selection

Wu, Qun; Liu, Xinwang; Qin, Jindong; Mardani, Abbas; … - In: Technological forecasting & social change : an … 184 (2022), pp. 1-23

Persistent link: https://www.econbiz.de/10013547761

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