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A novel explanation for idiosyncratic volatility anomaly : An asset decomposition perspective

Liu, Hao; Chen, Yue; Wan, Wei; Zhang, Qun - In: Economics letters 206 (2021), pp. 1-5

Persistent link: https://www.econbiz.de/10012886955

Six-factor asset pricing and portfolio investment via deep learning : evidence from Chinese stock market

Yao, Haixiang; Xia, Shenghao; Liu, Hao - In: Pacific-Basin finance journal 76 (2022), pp. 1-28

Persistent link: https://www.econbiz.de/10013552823

Optimal investment for the insurers in Markov-modulated jump-diffusion models

Li, Jinzhi; Liu, Haiying - In: Computational economics 46 (2015) 1, pp. 143-156

Persistent link: https://www.econbiz.de/10011441047

Quantile-based risk sharing

Embrechts, Paul; Liu, Haiyan; Wang, Ruodu - In: Operations research 66 (2018) 4, pp. 936-949

Persistent link: https://www.econbiz.de/10011916624

Quantile-based risk sharing

Embrechts, Paul; Liu, Haiyan; Wang, Ruodu - 2017 - This version: October 24, 2017

We address the problem of risk sharing among agents using a two-parameter class of quantile-based risk measures, the so-called Range-Value-at-Risk (RVaR), as their preferences. The family of RVaR includes the Value-at-Risk (VaR) and the Expected Shortfall (ES), the two popular and competing...

Persistent link: https://www.econbiz.de/10011874813

Weighted comonotonic risk sharing under heterogeneous beliefs

Liu, Haiyan - In: ASTIN bulletin : the journal of the International … 50 (2020) 2, pp. 647-673

Persistent link: https://www.econbiz.de/10012243394

The average risk sharing problem under risk measure and expected utility theory

Mao, Tiantian; Hu, Jiuyun; Liu, Haiyan - In: Insurance / Mathematics & economics 83 (2018), pp. 170-179

Persistent link: https://www.econbiz.de/10011944126

CVaR prediction model of the investment portfolio based on the convolutional neural network facilitates the risk management of the financial market

Wu, Zheng; Qiao, Yan; Huang, Shuai; Liu, HsienChen - In: Journal of global information management 30 (2022) 7, pp. 1-19

Persistent link: https://www.econbiz.de/10012800070

Time-varying relative risk aversion : theoretical mechanism and empirical evidence

Liu, Xuan; Liu, Haiyong; Cai, Zongwu - In: Journal of empirical finance 78 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10015132825

Return predictability via an long short-term memory-based cross-section factor model : evidence from Chinese stock market

Yao, Haixiang; Xia, Shenghao; Liu, Hao - In: Journal of forecasting 43 (2024) 6, pp. 1770-1794

Persistent link: https://www.econbiz.de/10015110316