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Testing alphas in conditional time-varying factor models with high-dimensional assets

Ma, Shujie; Lan, Wei; Su, Liangjun; Tsai, Chih-Ling - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 214-227

Persistent link: https://www.econbiz.de/10012179549

A Bayesian Information Criterion for Portfolio Selection

Lan, Wei - 2011

The mean-variance theory of Markowitz (1952) indicates that large investment portfolios naturally provide better risk diversi cation than small ones. However, due to parameter estimation errors, one may find ambiguous results in practice. Hence, it is essential to identify relevant stocks to...

Persistent link: https://www.econbiz.de/10013123908

Benchmark-driven investment for DC pension plans

Pelsser, Antoon André Jean; Yang, Li - In: Journal of pension economics and finance : JPEF 23 (2024) 4, pp. 476-503

Persistent link: https://www.econbiz.de/10015154280

Non-linear equity portfolio variance reduction under a mean-variance framework : a delta-gamma approach

Jewell, Sean W.; Li, Yang; Pirvu, Traian A. - In: Operations research letters 41 (2013) 6, pp. 694-700

Persistent link: https://www.econbiz.de/10010236034

Interest rates and financial fragility

Li, Yang - In: Journal of economic dynamics & control 82 (2017), pp. 195-205

Persistent link: https://www.econbiz.de/10011915565

Target-based investment for long-term investors under stochastic volatility

Pelsser, Antoon André Jean; Yang, Li - 2023

Persistent link: https://www.econbiz.de/10014458738

Do government-guided funds "guide" the transregional mobility of capital? : evidence from cross-city equity investments

Peng, Kai; Yu, Fang; Kong, Dongmin; Li, Yang; Geng, Ruihang - In: Finance research letters 66 (2024), pp. 1-11

Persistent link: https://www.econbiz.de/10015060794

Nonlinearly weighted convex risk measure and its application

Chen, Zhiping; Li Yang - In: Journal of banking & finance 35 (2011) 7, pp. 1777-1793

Persistent link: https://www.econbiz.de/10009247606

Tail nonlinearly transformed risk measure and its application

Chen, Zhiping; Li Yang; Xu, Daobao; Hu, Qianhui - In: OR spectrum : quantitative approaches in management 34 (2012) 4, pp. 817-860

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Hedging with futures : does anything beat the naïve hedging strategy?

Wang, Yudong; Wu, Chongfeng; Li, Yang - In: Management science : journal of the Institute for … 61 (2015) 12, pp. 2870-2889

Persistent link: https://www.econbiz.de/10011413497