Xiangyu Cui
Shanghai University of Finance and Economics
H-index: 16
Asia-China
Top articles of Xiangyu Cui
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
Limited Attention Allocation in a Stochastic Linear Quadratic System with Multiplicative Noise | arXiv preprint arXiv:2403.18528 | Xiangyu Cui Jianjun Gao Lingjie Kong | 2024/3/27 |
Volatility analysis for the GARCH‐Itô model with option data | Canadian Journal of Statistics | Huiling Yuan Yong Zhou Zhiyuan Zhang Xiangyu Cui | 2024/3 |
Discrete-Time Mean-Variance Strategy Based on Reinforcement Learning | arXiv preprint arXiv:2312.15385 | Xiangyu Cui Xun Li Yun Shi Si Zhao | 2023/12/24 |
Time consistent in efficiency dynamic mean–variance policy | Journal of the Operational Research Society | Yun Shi Duan Li Xiangyu Cui | 2023/1/2 |
The self-coordination mean-variance strategy in continuous time | RAIRO-Operations Research | Yun Shi Duan Li Xiangyu Cui | 2023/11 |
Work more tomorrow: Resolving present bias in project management | Operations Research | Yun Shi Nicholas G Hall Xiangyu Cui | 2023/1 |
Dynamic Mean-Variance Portfolio Selection with Return and Risk Predictability | Qian Li Xiangyu Cui Yun Shi | 2023/5/20 | |
Hybrid strategy in multiperiod mean-variance framework | Optimization Letters | Xiangyu Cui Duan Li Yun Shi Mingjia Zhu | 2023/3 |
Beta and coskewness pricing: Perspective from probability weighting | Operations Research | Yun Shi Xiangyu Cui Xun Yu Zhou | 2023/3 |
On the pricing of expected idiosyncratic skewness | Economics Letters | Xiangyu Cui Zheng Guan | 2022/7/1 |
A new volatility model: GQARCH‐ItÔ model | Journal of Time Series Analysis | Huiling Yuan Yulei Sun Lu Xu Yong Zhou Xiangyu Cui | 2022/5 |
Decision making under cumulative prospect theory: An alternating direction method of multipliers | arXiv preprint arXiv:2210.02626 | Xiangyu Cui Rujun Jiang Yun Shi Yifan Yan | 2022/10/6 |
Survey on multi-period mean–variance portfolio selection model | Journal of the Operations Research Society of China | Xiang-Yu Cui Jian-Jun Gao Xun Li Yun Shi | 2022/9 |
Risk and potential: An asset allocation framework with applications to robo-advising | Journal of the Operations Research Society of China | Xiang-Yu Cui Duan Li Xiao Qiao Moris S Strub | 2022/9 |
Index tracking strategy based on mixed-frequency financial data | Plos one | Xiangyu Cui Xuan Zhang | 2021/4/6 |
Equilibrium reinsurance strategies for n insurers under a unified competition and cooperation framework | Scandinavian Actuarial Journal | Peng Yang Zhiping Chen Xiangyu Cui | 2021/11/26 |
Multi-period mean–variance portfolio optimization with management fees | Operational Research | Xiangyu Cui Jianjun Gao Yun Shi | 2021/6 |
Volatility analysis with realized GARCH-Itô models | Journal of Econometrics | Xinyu Song Donggyu Kim Huiling Yuan Xiangyu Cui Zhiping Lu | 2021/5/1 |
Better than optimal mean–variance portfolio policy in multi-period asset–liability management problem | Operations Research Letters | Xiangyu Cui Xun Li Lanzhi Yang | 2020/11/1 |
Co-Authors
