Xun 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.

Multi-period defined contribution pension funds investment management with regime-switching and mortality risk ☆

Xun Li, Ping Chen, H. Yao, 2016 .

The impact of demand variability and transshipment on vendor's distribution policies under vendor managed inventory strategy

Xu Chen, G. Hao, Xun Li, 2012 .

Dynamic asset–liability management in a Markov market with stochastic cash flows

Xun Li, Yong Li, H. Yao, 2016 .

Dynamic Portfolio Selection under Capital-at-Risk

Xun Li, A. Ware, A. Lari-Lavassani, 2003 .

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

Xiangyu Cui, Duan Li, Xun Li, 2014 .

DYNAMIC PORTFOLIO SELECTION UNDER CAPITAL-AT-RISK WITH NO SHORT-SELLING CONSTRAINTS

Xun Li, A. Ware, A. Lari-Lavassani, 2011 .

Continuous Time Portfolio Selection under Conditional Capital at Risk

Xun Li, A. Ware, A. Lari-Lavassani, 2010 .

Data-driven robust mean-CVaR portfolio selection under distribution ambiguity

Xun Li, Shushang Zhu, Zhongfei Li, 2018, Quantitative Finance.

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 .

Credit Modelling

Raymond H. Chan, Spike T. Lee, Xun Li, 2019, Financial Mathematics, Derivatives and Structured Products.

Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset

Xun Li, Yan Zeng, Zhongfei Li, 2016 .

A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with probability constraints

Xun Li, Zhongfei Li, Xianping Wu, 2017 .

A Mean-Field Formulation for Optimal Multi-Period Asset-Liability Mean-Variance Portfolio Selection with an Uncertain Exit Time

Xiangyu Cui, Xun Li, Xianping Wu, 2015 .

Optimal Multiperiod Mean-Variance Policy Under No-Shorting Constraint

Duan Li, Xun Li, Jianjun Gao, 2012 .

Optimal stopping investment with non-smooth utility over an infinite time horizon

Xun Li, F. Yi, Xiaoshan Chen, 2019, Journal of Industrial & Management Optimization.

Continuous-Time Mean-Variance Portfolio Selection with Partial Information

W. Pang, Yuan‐Hua Ni, Xun Li, 2014 .

Continuous-time Mean-Variance Portfolio Selection with Stochastic Parameters

W. Pang, Yuan‐Hua Ni, Xun Li, 2013, 1302.6669.

Stochastic Differential Games with Applications

Xun Li, 2014 .

Continuous-time mean-variance efficiency: the 80% rule

X. Zhou, Xun Li, 2006, math/0702249.

Credit Derivatives

Raymond H. Chan, Spike T. Lee, Xun Li, 2019, Financial Mathematics, Derivatives and Structured Products.

Multi-period De(cid:12)ned Contribution Pension Funds Investment Management with Regime-Switching and Mortality risk I

Xun Li, H. Yao, Pingfu Chen, 2016 .

Mean-variance portfolio selection with random investment horizon

Xun Li, K. Yiu, Kok Lay Teo, 2022, Journal of Industrial and Management Optimization.

Real options approach for fashionable and perishable products using stock loan with regime switching

W. Liu, S. Hou, Xun Li, 2015, Annals of Operations Research.

Submitted to the Annals of Applied Probability CONTINUOUS-TIME MEAN – VARIANCE EFFICIENCY : THE 80 % RULE By

X. Zhou, Xun Li, 2006 .

Better than pre-committed optimal mean-variance policy in a jump diffusion market

Xiangyu Cui, Xun Li, Yun Shi, 2017, Mathematical Methods of Operations Research.

Continuous-Time Mean-Variance Portfolio Selection with Constraints on Wealth and Portfolio

Xun Li, Z. Xu, 2015, 1507.06850.

Optimal Investment Stopping Problem with Nonsmooth Utility in Finite Horizon

Xun Li, F. Yi, Z. Xu, 2015, 1507.00934.

A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction

Zhenyu Wu, Xun Li, Xing Jin, 2013, Eur. J. Oper. Res..

A high-order Markov-switching model for risk measurement

Michael K. Ng, Tak Kuen Siu, Wai-Ki Ching, 2009, Comput. Math. Appl..

On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices

Zhenyu Wu, Xun Li, Xun Li, 2008, Comput. Oper. Res..

Optimal multi-period mean-variance policy under no-shorting constraint

Duan Li, Jianjun Gao, Xiangyu Cui, 2014, European Journal of Operational Research.

Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints

Andrew E. B. Lim, Xun Yu Zhou, Xun Li, 2001, SIAM J. Control. Optim..

Coordinating Supply Chains With a General Price-Dependent Demand Function: Impacts of Channel Leadership and Information Asymmetry

Tsan-Ming Choi, Xun Li, Chun-Hung Chiu, 2016, IEEE Transactions on Engineering Management.

Corporate risk management and investment decisions

Xun Li, Zhenyu Wu, 2009 .

Indefinite Stochastic Linear Quadratic Control with Markovian Jumps in Infinite Time Horizon

Xun Yu Zhou, Mustapha Ait Rami, Xun Li, 2003, J. Glob. Optim..

Indefinite stochastic LQ controls with Markovian jumps in a finite time horizon

Xun Yu Zhou, Xun Li, X. Zhou, 2002, Commun. Inf. Syst..

Indefinite stochastic LQ control with jumps

X. Zhou, M. A. Rami, Xun Li, 2001, Proceedings of the 40th IEEE Conference on Decision and Control (Cat. No.01CH37228).

Optimal consumption with reference to past spending maximum

H. Pham, Xun Li, Xiang Yu, 2020, Finance and Stochastics.

Optimal consumption with loss aversion and reference to past spending maximum

Xun Li, Xiang Yu, Qinyi Zhang, 2021, 2108.02648.

Reputation entrenchment or risk minimization?: Early stop and investor-manager agency conflict in fund management

Xun Li, Xun Li, Zhenyu Wu, 2008 .

Dynamic Mean Semi-variance Portfolio Selection

Xun Li, Ali Lari-Lavassani, Xun Li, 2003, International Conference on Computational Science.

Dynamic Downside Risk Measure and Optimal Investment Behaviors

Xun Li, 2007 .

Survey on Multi-period Mean–Variance Portfolio Selection Model

Jianjun Gao, Xiangyu Cui, Xun Li, 2022, Journal of the Operations Research Society of China.

Supply chain coordination with risk sensitive retailer under target sales rebate

Tsan-Ming Choi, Xun Li, Chun-Hung Chiu, 2011, Autom..

Improving Revenue Management: A Real Option Approach

Tak Kuen Siu, Wai-Ki Ching, Xun Li, 2010 .

Real options approach for fashionable and perishable products using stock loan with regime switching

Wei Liu, Xun Li, Shui-Hung Hou, 2017, Ann. Oper. Res..

Free boundary problem for an optimal investment problem with a borrowing constraint

Chonghu Guan, Xun Li, Rui Zhou, 2021, Journal of Industrial & Management Optimization.

Time consistent behavioral portfolio policy for dynamic mean–variance formulation

Yun Shi, Duan Li, Xun Li, 2014, J. Oper. Res. Soc..

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

Duan Li, Xun Li, Xiangyu Cui, 2013, IEEE Transactions on Automatic Control.

Dynamic mean-variance portfolio selection with borrowing constraint

Xun Li, Ali Lari-Lavassani, Chenpeng Fu, 2010, Eur. J. Oper. Res..

Innovative menu of contracts for coordinating a supply chain with multiple mean-variance retailers

Tsan-Ming Choi, Xun Li, Gang Hao, 2015, Eur. J. Oper. Res..

Continuous-time Markowitz's model with constraints on wealth and portfolio

Zuo Quan Xu, Xun Li, Xun Li, 2016, Oper. Res. Lett..

Dynamic Asset Allocation

Raymond H. Chan, Spike T. Lee, Xun Li, 2019, Financial Mathematics, Derivatives and Structured Products.

Open-loop solvability for mean-field stochastic linear quadratic optimal control problems of Markov regime-switching system

Xun Li, Kehan Si, Zhenda Xu, 2021, Journal of Industrial & Management Optimization.

American Options

Raymond H. Chan, Spike T. Lee, Xun Li, 2019, Financial Mathematics, Derivatives and Structured Products.

Survey on Multi-period Mean–Variance Portfolio Selection Model

Jianjun Gao, Xiangyu Cui, Xun Li, 2022, Journal of the Operations Research Society of China.

Better than pre-committed optimal mean-variance policy in a jump diffusion market

Xiangyu Cui, Xun Li, Yun Shi, 2014, Math. Methods Oper. Res..

Optimal stopping investment in a logarithmic utility-based portfolio selection problem

Xun Li, Wenxin Zhou, Xun Li, 2017 .

A stochastic control problem and related free boundaries in finance

Zuo Quan Xu, Xun Li, Fahuai Yi, 2017 .

Optimal investment with stopping in finite horizon

Xun Li, F. Yi, Xiongfei Jian, 2014, 1406.6940.

When should venture capitalists exit their investee companies

Hwee Huat Tan, Xun Li, Craig Wilson, 2013 .

Equilibrium strategy for a multi-period weighted mean-variance portfolio selection in a Markov regime-switching market with uncertain time-horizon and a stochastic cash flow

Zhongfei Li, Xingyi Li, Xun Li, 2021, Communications in Statistics - Theory and Methods.

Better than optimal mean-variance portfolio policy in multi-period asset-liability management problem

Xiangyu Cui, Xun Li, Lanzhi Yang, 2020, Oper. Res. Lett..

Multi-period asset-liability management with cash flows and probability constraints: A mean-field formulation approach

Xianping Wu, Xun Li, Haixiang Yao, 2019, J. Oper. Res. Soc..

A mean-field formulation for multi-period asset–liability mean–variance portfolio selection with an uncertain exit time

Xianping Wu, Xun Li, Xiangyu Cui, 2018, J. Oper. Res. Soc..

Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk

Xun Li, Miao Zhang, Ping Chen, 2020, Journal of Industrial & Management Optimization.