Xiangyu Cui

Available identifiers

List of research outcomes

Publication	Date of Publication	Type
Limited attention allocation in a stochastic linear quadratic system with multiplicative noise	2025-01-21	Paper
Volatility analysis for the GARCH-Itô model with option data	2024-04-23	Paper
Beta and Coskewness Pricing: Perspective from Probability Weighting	2024-03-12	Paper
Work More Tomorrow: Resolving Present Bias in Project Management	2024-02-26	Paper
The self-coordination mean-variance strategy in continuous time	2024-01-22	Paper
Hybrid strategy in multiperiod mean-variance framework	2023-03-06	Paper
Decision Making under Cumulative Prospect Theory: An Alternating Direction Method of Multipliers	2022-10-05	Paper
Survey on multi-period mean-variance portfolio selection model	2022-09-27	Paper
Risk and potential: an asset allocation framework with applications to robo-advising	2022-09-27	Paper
A new volatility model: GQARCH‐ItÔ model	2022-08-08	Paper
On the pricing of expected idiosyncratic skewness	2022-07-26	Paper
Equilibrium reinsurance strategies for n insurers under a unified competition and cooperation framework	2022-03-02	Paper
Better than optimal mean-variance portfolio policy in multi-period asset-liability management problem	2021-04-07	Paper
Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR	2019-11-21	Paper
Alleviating time inconsistent behaviors via a competition scheme	2019-05-02	Paper
Time-consistent and self-coordination strategies for multi-period mean-conditional value-at-risk portfolio selection	2019-03-12	Paper
Dynamic mean–VaR portfolio selection in continuous time	2018-11-19	Paper
A mean-field formulation for optimal multi-period mean-variance portfolio selection with an uncertain exit time	2018-09-28	Paper
Discrete-time behavioral portfolio selection under cumulative prospect theory	2018-08-13	Paper
Time-consistent portfolio policy for asset-liability mean-variance model with state-dependent risk aversion	2018-08-10	Paper
Self-coordination in time inconsistent stochastic decision problems: a planner-doer game framework	2018-08-09	Paper
Better than pre-committed optimal mean-variance policy in a jump diffusion market	2017-10-09	Paper
Multiperiod Mean-CVaR Portfolio Selection	2017-09-12	Paper
Behavioral Portfolio Optimization with Social Reference Point	2017-09-12	Paper
Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection	2017-05-16	Paper
Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion	2017-03-28	Paper
Dynamic Trading with Reference Point Adaptation and Loss Aversion	2016-01-22	Paper
Time cardinality constrained mean-variance dynamic portfolio selection and market timing: a stochastic control approach	2015-08-21	Paper
Optimal multi-period mean-variance policy under no-shorting constraint	2015-02-03	Paper
Mean-Variance Policy for Discrete-time Cone Constrained Markets: The Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure	2014-03-04	Paper
https://portal.mardi4nfdi.de/entity/Q4925764	2013-06-12	Paper
BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM	2013-02-28	Paper

Research outcomes over time

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