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Xiangyu Cui
Xiangyu Cui
Shanghai University of Finance and Economics, School of Statistics and Management
Verified email at mail.shufe.edu.cn
Title
Cited by
Cited by
Year
Better than dynamic mean‐variance: Time inconsistency and free cash flow stream
X Cui, D Li, S Wang, S Zhu
Mathematical finance: an international journal of mathematics, statistics …, 2012
1422012
Optimal multi-period mean–variance policy under no-shorting constraint
X Cui, J Gao, X Li, D Li
European Journal of Operational Research 234 (2), 459-468, 2014
1302014
Unified framework of mean-field formulations for optimal multi-period mean-variance portfolio selection
X Cui, X Li, D Li
IEEE Transactions on Automatic Control 59 (7), 1833-1844, 2014
622014
Mean-Variance Policy for Discrete-time Cone Constrained Markets: Time Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure
X Cui, D Li, X Li
Mathematical Finance 27 (2), 471-504, 2017
562017
Dynamic trading with reference point adaptation and loss aversion
Y Shi, X Cui, J Yao, D Li
Operations Research 63 (4), 789-806, 2015
512015
Time cardinality constrained mean–variance dynamic portfolio selection and market timing: A stochastic control approach
J Gao, D Li, X Cui, S Wang
Automatica 54, 91-99, 2015
452015
Discrete-time behavioral portfolio selection under cumulative prospect theory
Y Shi, X Cui, D Li
Journal of Economic Dynamics & Control 61, 283-302, 2015
442015
Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
MS Strub, D Li, X Cui, J Gao
Journal of Economic Dynamics and Control 108, 103751, 2019
362019
Volatility analysis with realized GARCH-Itô models
X Song, D Kim, H Yuan, X Cui, Z Lu, Y Zhou, Y Wang
Journal of Econometrics 222 (1), 393-410, 2021
332021
An enhanced mean-variance framework for robo-advising applications
M Strub, D Li, X Cui
SSRN 1034 (3302111), 1035, 2019
332019
Time-consistent and self-coordination strategies for multi-period mean-conditional value-at-risk portfolio selection
X Cui, J Gao, Y Shi, S Zhu
European Journal of Operational Research 276 (2), 781-789, 2019
312019
Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion
X Cui, L Xu, Y Zeng
Optimization Letters 10, 1681-1691, 2016
292016
Time consistent behavioral portfolio policy for dynamic mean-variance formulation
X Cui, X Li, D Li, Y Shi
Journal of the Operational Research Society 68 (12), 1647-1660, 2017
232017
Self-coordination in time inconsistent stochastic decision problems: A planner–doer game framework
X Cui, D Li, Y Shi
Journal of Economic Dynamics & Control 75, 91-113, 2017
212017
A mean-field formulation for optimal multi-period mean–variance portfolio selection with an uncertain exit time
L Yi, X Wu, X Li, X Cui
Operations Research Letters 42 (8), 489-494, 2014
192014
Dynamic mean–VaR portfolio selection in continuous time
K Zhou, J Gao, D Li, X Cui
Quantitative Finance 17 (10), 1631-1643, 2017
152017
Multi-period mean–variance portfolio optimization with management fees
X Cui, J Gao, Y Shi
Operational Research 21 (2), 1333-1354, 2021
112021
Classical mean-variance model revisited: pseudo efficiency
X Cui, L Duan, J Yan
Journal of the Operational Research Society 66, 1646-1655, 2015
102015
Time-consistent portfolio policy for asset-liability mean-variance model with state-dependent risk aversion
LM Peng, XY Cui, Y Shi
Journal of the Operations Research Society of China 6, 175-188, 2018
92018
Work more tomorrow: Resolving present bias in project management
Y Shi, NG Hall, X Cui
Operations Research 71 (1), 314-340, 2023
82023
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