Duan Li

发表

MEAN‐VARIANCE POLICY FOR DISCRETE‐TIME CONE‐CONSTRAINED MARKETS: TIME CONSISTENCY IN EFFICIENCY AND THE MINIMUM‐VARIANCE SIGNED SUPERMARTINGALE MEASURE

Xiangyu Cui, Duan Li, Xun Li, 2014, 1403.0718.

Reference Point Formation in Social Networks, Wealth Growth, and Inequality

Moris S. Strub, Youcheng Lou, Duan Li, 2017 .

OPTIONED PORTFOLIO SELECTION: MODELS AND ANALYSIS

Shuzhong Zhang, Duan Li, Jianfeng Liang, 2008 .

Market Timing Strategy in Dynamic Portfolio Selection: A Mean-Variance Formulation

Shouyang Wang, Jianjun Gao, Xiangyu Cui, 2012 .

Optimal Order Exposure in a Limit Order Market

Duan Li, Xuefeng Gao, Yuanyuan Chen, 2017 .

Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection

Xiangyu Cui, Duan Li, Xun Li, 2014 .

Risk and Potential: A Perspective from Mean-Variance Induced Utility Functions

Moris S. Strub, Xiangyu Cui, Duan Li, 2020 .

Time Inconsistency, Self-Control and Internal Harmony: A Planner-Doer Game Framework

Xiangyu Cui, Duan Li, Yun Shi, 2014 .

Mean-Variance Policy for Discrete-Time Cone Constrained Markets: Time Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure

Xiangyu Cui, Duan Li, Xun Li, 2014 .

Behavior patterns of investment strategies under Roy’s safety-first principle

Duan Li, Zhongfei Li, Jing Yao, 2010 .

Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR

Moris S. Strub, Jianjun Gao, Xiangyu Cui, 2019, Journal of Economic Dynamics and Control.

Discrete-Time Mean-CVaR Portfolio Selection and Time-Consistency Induced Term Structure of the CVaR

Moris S. Strub, Jianjun Gao, Xiangyu Cui, 2017, Journal of Economic Dynamics and Control.

Effective Algorithms for Optimal Portfolio Deleveraging Problem with Cross Impact

Hezhi Luo, Duan Li, Xianye Zhang, 2020, 2012.07368.

Revisiting the Efficiency of Competitive Markets: The Incentive to Social Communication

Youcheng Lou, Duan Li, Shouyang Wang, 2017 .

BERT-based Financial Sentiment Index and LSTM-based Stock Return Predictability

Joshua Zoen-Git Hiew, Xin Huang, Duan Li, 2019, 1906.09024.

Optimal order execution using hidden orders

Duan Li, Xuefeng Gao, Yuanyuan Chen, 2018, Journal of Economic Dynamics and Control.

Resolving Time Inconsistency of Decision Problem with Non-expectation Operator: From Internal Conflict to Internal Harmony by Strategy of Self-Coordination

Xiangyu Cui, Duan Li, Yun Shi, 2020 .

A Note on Monotone Mean-Variance Preferences for Continuous Processes

Moris S. Strub, Duan Li, 2019, Oper. Res. Lett..

Risk and Potential: An Asset Allocation Framework with Applications to Robo-Advising

Moris S. Strub, Xiangyu Cui, Duan Li, 2019, Journal of the Operations Research Society of China.

Classical mean-variance model revisited: pseudo efficiency

Duan Li, Xiangyu Cui, Jiaan Yan, 2015, J. Oper. Res. Soc..

Loss Aversion: A Medium where Better Environment Translates into Inferior Performance

Duan Li, Jing Yao, Zhongfei Li, 2008 .

The impact of a reference point determined by social comparison on wealth growth and inequality

Moris S. Strub, Youcheng Lou, Duan Li, 2021, Journal of Economic Dynamics and Control.

When Prospect Theory Preference Meets Mean-Reverting Asset Returns: A Dynamic Asset Allocation Model

Jianjun Gao, Duan Li, Jing Yao, 2017 .

Prospect theory and trading patterns

Duan Li, Jing Yao, 2013 .

Effective algorithms for optimal portfolio deleveraging problem with cross impact

Duan Li, Xianye Zhang, Yuanyuan Chen, 2020, Mathematical Finance.

Bounded rationality as a source of loss aversion and optimism: A study of psychological adaptation under incomplete information

Jing Yao, Duan Li, Duan Li, 2013 .

Classical Mean Variance Model Revisited: Pseudo Efficiency

Xiangyu Cui, Duan Li, Jiaan Yan, 2009 .

Self-coordination in time inconsistent stochastic decision problems: A planner–doer game framework

Xiangyu Cui, Duan Li, Xiangyu Cui, 2017 .

Revised Progressive-Hedging-Algorithm Based Two-layer Solution Scheme for Bayesian Reinforcement Learning pdf

Xin Huang, Duan Li, Daniel Zhuoyu Long, 2019, ArXiv.

Discrete-time behavioral portfolio selection under cumulative prospect theory

Xiangyu Cui, Duan Li, Yun Shi, 2015 .

Behavioral Portfolio Optimization with Social Reference Point

Yun Shi, Duan Li, Xiangyu Cui, 2015, MCO.

Discrete-Time Behavioral Portfolio Selection Under Prospect Theory

Xiangyu Cui, Duan Li, Yun Shi, 2014 .

Failing to Foresee the Updating of the Reference Point Leads to Time-Inconsistent Investment

Duan Li, Moris S. Strub, Duan Li, 2019, Oper. Res..

Hybrid strategy in multiperiod mean-variance framework

Xiangyu Cui, Duan Li, Yun Shi, 2022, Optimization Letters.

Time consistent in efficiency dynamic mean–variance policy

Xiangyu Cui, Duan Li, Yun Shi, 2022, J. Oper. Res. Soc..

Information aggregation in a financial market with general signal structure

Youcheng Lou, Debraj Ray, Duan Li, 2019, J. Econ. Theory.

Integrating Different Informations for Portfolio Selection

Wei Zhu, Duan Li, Shushang Zhu, 2023, 2305.17881.

Scenario-decomposition Solution Framework for Nonseparable Stochastic Control Problems pdf

Xin Huang, Duan Li, Daniel Zhuoyu Long, 2020, ArXiv.

Time cardinality constrained mean-variance dynamic portfolio selection and market timing: A stochastic control approach

Shouyang Wang, Duan Li, Jianjun Gao, 2015, Autom..